Julie Henriques

Tea-Cegos Deployment

11 rue Denis Papin

Besancon, F-25000

France

  • Tea-Cegos Deployment

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Stochastic Nonlinear Time Series Forecasting Using Time-Delay Reservoir Computers: Performance and Universality

Neural Networks, 55C, 59-71 (2014)
Number of pages: 24 Posted: 06 Nov 2013 Last Revised: 13 May 2014
Lyudmila Grigoryeva, Julie Henriques, Laurent Larger, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Konstanz, Tea-Cegos Deployment, University of Burgundy Franche-Comté and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 384 (142,641)
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Reservoir computing, echo state networks, neural computing, time-delay reservoir, time series forecasting, universality, VEC-GARCH model, volatility forecasting, realized volatility, parallel reservoir computing

2.

Construction, Management, and Performance of Sparse Markowitz Portfolios

Studies in Nonlinear Dynamics and Econometrics, 18(4), 383-402, 2014
Number of pages: 26 Posted: 14 Oct 2012 Last Revised: 18 Sep 2014
Julie Henriques, Juan-Pablo Ortega and Juan-Pablo Ortega
Tea-Cegos Deployment and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 237 (236,265)

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Markowitz portfolios, penalized regression, portfolio selection, portfolio management, sparsity, Sharpe ratio