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Articles, 2 records found
Articles 2 records found  
1.
36 p, 1.9 MB A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes / Arratia, Argimiro (Universitat Politècnica de Catalunya. Departament de Llenguatges i Sistemes Informàtics) ; Cabaña Nigro, Alejandra (Universitat Autònoma de Barcelona. Departament de Matemàtiques) ; Cabaña, Enrique M. (Universidad de la República (Montevideo, Uruguai))
We present a construction of a family of continuous-time ARMA processes based on p iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to build an AR(p) from an AR(1). [...]
2016
SORT : statistics and operations research transactions, Vol. 40 Núm. 2 (July-December 2016) , p. 267-302 (Articles)  
2.
22 p, 726.0 KB Tracing the temporal evolution of clusters in a financial stock market / Arratia, Argimiro (Universitat Politècnica de Catalunya. Departament de Llenguatges i Sistemes Informàtics) ; Cabaña Nigro, Alejandra (Universitat Autònoma de Barcelona. Departament de Matemàtiques)
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the application of well known algorithms for solving classical combinatorial graph problems, which can be interpreted as problems relevant to portfolio design and investment strategies. [...]
2013 - 10.1007/s10614-012-9327-x
Computational economics, Vol. 41, Num. 2 (2013) , p. 213-231  

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