Short-term Volatility Estimation for High Frequency Trades using Gaussian processes (GPs).
Leonard MushunjeMaxwell MashashaEdina ChandiwanaPublished in: CoRR (2023)
Keyphrases
- short term
- high frequency
- gaussian processes
- long term
- stock market
- low frequency
- gaussian process
- gaussian process regression
- high resolution
- short term and long term
- wavelet transform
- gaussian process models
- subband
- wavelet coefficients
- forecasting model
- multiresolution
- hyperparameters
- training data
- image compression
- probabilistic model
- bayesian framework
- training set
- computational complexity
- image processing