Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market.
Li-Xin WangPublished in: CoRR (2014)
Keyphrases
- stock market
- heavy tailed
- garch model
- generalized gaussian
- financial time series
- electronic commerce
- short term
- stock price
- long term
- noise reduction
- online auctions
- gaussian noise
- stock exchange
- denoising
- transaction costs
- stock index futures
- financial data
- financial markets
- median filter
- noisy data
- software agents
- maximum likelihood
- wavelet transform