Horst Simon

University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)

1 Cyclotron Road

Berkeley, CA 94720

United States

  • University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Intraday Patterns in Natural Gas Futures: Extracting Signals from High-Frequency Trading Data

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 07 Mar 2016
Jung Heon Song, Marcos Lopez de Prado, Marcos Lopez de Prado, Horst Simon and Kesheng Wu
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 3,350 (7,369)

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Time series analysis, non-uniform FFT, co-integration

2.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Jung Heon Song, Marcos Lopez de Prado, Marcos Lopez de Prado, Horst Simon and Kesheng Wu
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,550 (24,838)
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In-homogeneous Time Series, Non-Uniform Fourier Transform, High Frequency Trading, Sampling Frequency, Volume Time

3.

Data Driven Dimensionality Reduction to Improve Modeling Performance

Number of pages: 28 Posted: 25 Jun 2023
Joshua Chung, Marcos Lopez de Prado, Marcos Lopez de Prado, Horst Simon and Kesheng Wu
University of California, Berkeley, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,128 (39,573)

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Dimensionality reduction, mean-decreased accuracy, feature selection, hyperparamters optimization

4.

Parameter Analysis of the VPIN (Volume Synchronized Probability of Informed Trading) Metric

Constantin Zopounidis, Editor. Quantitative Financial Risk Management: Theory and Practice. 2014. Wiley.
Number of pages: 26 Posted: 21 Apr 2014
Jung Heon Song, Kesheng Wu and Horst Simon
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 552 (102,838)

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VPIN, volatility, sensitivity analysis, nonlinear optimization