Developing Arbitrage Strategy in High-frequency Pairs Trading with Filterbank CNN Algorithm.

Yu-Ying Chen Wei-Lun Chen Szu-Hao Huang

Published in: ICA (2018)

Keyphrases

high frequency
low frequency
subband
image processing
computational complexity
high resolution
visual quality
high quality
signal processing
image compression
multiscale
computationally efficient
filter bank
stock price
low pass