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Towards a sharp estimation of transfer entropy for identifying causality in financial time series.
Àlex Serès
Alejandra Cabaña
Argimiro Arratia
Published in:
MIDAS@PKDD/ECML (2016)
Keyphrases
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financial time series
financial time series forecasting
stock market
turning points
financial data
multivariate time series
stock returns
non stationary
high dimensional
optical flow
probabilistic model
stock price
stock exchange