Optimizing sparse mean reverting portfolios.
I. Róbert SiposJános LevendovszkyPublished in: Algorithmic Finance (2013)
Keyphrases
- sparse data
- high dimensional
- sparse coding
- data sets
- transaction costs
- information retrieval
- compressive sensing
- computer vision
- information systems
- decision making
- multiresolution
- sparse representation
- signal recovery
- database
- dictionary learning
- linear combination
- similarity measure
- case study
- artificial intelligence
- machine learning
- neural network