Quantitative Research in High Frequency Trading for Natural Gas Futures Market.
Saulius MasteikaMantas VaitonisPublished in: BIS (Workshops) (2015)
Keyphrases
- high frequency
- futures market
- natural gas
- low frequency
- short run
- high resolution
- long run
- wavelet transform
- heat transfer
- subband
- wavelet coefficients
- real option
- high frequencies
- discrete wavelet transform
- forecasting model
- numerical simulations
- high frequency components
- machine learning
- low bit rate coding
- dynamic programming
- multiscale