Jump detection in financial time series using machine learning algorithms.
Jay F. K. Au YeungZi-Kai WeiKit Yan ChanHenry Y. K. LauKa-Fai Cedric YiuPublished in: Soft Comput. (2020)
Keyphrases
- machine learning algorithms
- financial time series
- benchmark data sets
- learning algorithm
- machine learning
- decision trees
- machine learning methods
- financial time series forecasting
- stock market
- learning problems
- machine learning approaches
- financial data
- standard machine learning algorithms
- machine learning models
- random forests
- non stationary
- detection algorithm
- turning points
- learning models
- exchange rate
- statistical machine learning
- stock price
- data streams