Erik Lindstrom

Lund University

Box 117

Lund, SC Skane S221 00

Sweden

SCHOLARLY PAPERS

2

DOWNLOADS

436

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Feature Selection in Jump Models

Number of pages: 32 Posted: 18 Mar 2021
Peter Nystrup, Petter N. Kolm and Erik Lindstrom
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University
Downloads 436 (81,539)

Abstract:

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High-dimensional; sequential data; time series; clustering; unsupervised learning; regime switching

2.

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Nystrup, Peter, Kolm, Petter N. and Lindstrom, Erik, "Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features." The Journal of Financial Data Science 2.3 (2020).
Posted: 05 Jun 2020 Last Revised: 16 Mar 2021
Peter Nystrup, Petter N. Kolm and Erik Lindstrom
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University

Abstract:

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Clustering; Finance; Jump models; Markov-Switching; State sequence estimation; Unsupervised learning