Spectral analysis of stock-return volatility, correlation, and beta.
Shomesh E. ChaudhuriAndrew W. LoPublished in: SP/SPE (2015)
Keyphrases
- spectral analysis
- stock price
- stock market
- stock trading
- chinese stock market
- stock data
- investment strategies
- spectral methods
- stock market data
- power spectral density
- autoregressive
- spectral features
- stock exchange
- non stationary
- financial data
- short term
- exchange rate
- financial markets
- heart rate variability
- financial time series
- speech signal
- historical data
- stock returns
- hidden markov models
- computer vision
- garch model
- maximum likelihood
- news articles
- speech recognition