Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries.
George TzagkarakisJuliana Caicedo-LlanoThomas DionysopoulosPublished in: Algorithmic Finance (2015)
Keyphrases
- financial time series
- low dimensional
- high dimensional
- sparse representation
- stock market
- financial data
- high dimensional data
- turning points
- multivariate time series
- high dimensionality
- feature space
- financial time series forecasting
- non stationary
- dimensionality reduction
- pattern mining
- short term
- frequent patterns
- image classification
- data mining techniques
- reinforcement learning