Introduction to convex optimization in financial markets.
Teemu PennanenPublished in: Math. Program. (2012)
Keyphrases
- evolutionary algorithm
- convex optimization
- financial markets
- interior point methods
- stock market
- stock price
- low rank
- primal dual
- norm minimization
- total variation
- technical indicators
- convex relaxation
- convex optimization problems
- risk management
- trading systems
- semidefinite program
- operator splitting
- exchange rate
- probabilistic model
- software engineering
- image segmentation
- computer vision
- machine learning