Multistage Covariance Approach to Measure the Randomness in Financial Time Series Analysis.

Ryszard Szupiluk Piotr Wojewnik Tomasz Zabkowski

Published in: KES-AMSTA (2011)

Keyphrases

multistage
stochastic programming
single stage
dynamic programming
production system
lot sizing
stock market
stochastic optimization
decision making
multistage stochastic
optimal policy
covariance matrix
finite horizon
learning algorithm
supply chain
probability distribution
similarity measure
data mining