Argimiro Arratia

Polytechnic University of Catalonia (UPC)

C. Jordi Girona, 31

Barcelona, 08034

Spain

SCHOLARLY PAPERS

5

DOWNLOADS

447

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Do Google Trends Forecast Bitcoins? Stylized Facts and Statistical Evidence

ITISE 2019 (6th International conference on Time Series and Forecasting)
Number of pages: 12 Posted: 07 Aug 2019
Argimiro Arratia and Albert López-Barrantes
Polytechnic University of Catalonia (UPC) and Autonomous University of Barcelona
Downloads 161 (249,724)

Abstract:

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Google Trends, Bitcoin, causality, ARIMA, Neural Networks

2.

On the Effectiveness of Stop-Loss Rules: An Analytical Framework Based on Modeling Overnight Gaps and the Stationary Bootstrap

Number of pages: 24 Posted: 16 Dec 2017
Argimiro Arratia and Albert Dorador
Polytechnic University of Catalonia (UPC) and European Central Bank (ECB)
Downloads 126 (302,793)

Abstract:

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Stop-loss, Risk Management, Financial Modeling, Overnight Gap, Bootstrap

3.

Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean

Number of pages: 28 Posted: 30 May 2018 Last Revised: 20 Jul 2018
Argimiro Arratia and Henryk Gzyl
Polytechnic University of Catalonia (UPC) and Instituto de Estudios Superiores de Administración (IESA)
Downloads 65 (455,729)
Citation 1

Abstract:

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Econophysics; distorsion function; maximum entropy in mean; portfolio optimization; risk neutral measures; asset pricing

4.

A Construction of Continuous Time ARMA Models by Iterations of Ornstein-Uhlenbeck Processes

SORT-Statistics and Operations Research Transactions, 40 (2), 267-302, 2016
Number of pages: 32 Posted: 31 May 2018
Argimiro Arratia, Alejandra Cabaña and Enrique Cabaña
Polytechnic University of Catalonia (UPC), Autonomous University of Barcelona and affiliation not provided to SSRN
Downloads 49 (518,927)

Abstract:

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Ornstein-Uhlenbeck Process, Levy Process, Continuous ARMA, Stationary Process

5.

High-Performance Computing Evaluation of Supervised Learning Models and Human Expert Criteria for Stock Screening Using Fundamental Factors

Number of pages: 40 Posted: 25 Aug 2020
Argimiro Arratia
Polytechnic University of Catalonia (UPC)
Downloads 46 (532,378)

Abstract:

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High performance computation, supercomputer, supervised learning algorithms, stock screening, fundamental analysis