Norbert Fogarasi

Budapest University of Technology and Economics

Budafoki ut 8.

Budapest, 1111

Hungary

SCHOLARLY PAPERS

3

DOWNLOADS

304

CITATIONS
Rank 45,357

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Top 45,357

in Total Papers Citations

3

Scholarly Papers (3)

1.

Sparse, Mean Reverting Portfolio Selection Using Simulated Annealing

Algorithmic Finance 2013, 2:3-4, 197-211
Number of pages: 16 Posted: 18 Jan 2014
Norbert Fogarasi and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Downloads 147 (90,901)
Citation 1

Abstract:

2.

Improved Parameter Estimation and Simple Trading Algorithm for Sparse, Mean-Reverting Portfolios

Annales Univ. Sci. Budapest., Sect. Comp. 37 (2012) 121–144 ,
Number of pages: 24 Posted: 31 Jul 2017
Norbert Fogarasi and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Downloads 0 (478,302)
Citation 1

Abstract:

Mean reversion, sparse estimation, convergence trading, parameter estimation, VAR(1) model, covariance selection, financial time series

3.

A Simplified Approach to Parameter Estimation and Selection of Sparse, Mean Reverting Portfolios

Periodica Polytechnica, 56/1 (2012) 21–28,
Number of pages: 8 Posted: 31 Jul 2017
Norbert Fogarasi and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Downloads 0 (514,037)
Citation 1

Abstract:

mean reversion, sparse estimation, convergence trading, parameter estimation, VAR(1) model, covariance selection, financial time series