Mike J. Chantler

Heriot-Watt University - Department of Computer Science

Edinburgh

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

1,164

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (9)

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1.

Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 48 Posted: 25 Oct 2021 Last Revised: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 253 (233,924)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

2.

Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series

Number of pages: 61 Posted: 07 Sep 2021 Last Revised: 21 Jun 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, affiliation not provided to SSRN and Heriot-Watt University - Department of Computer Science
Downloads 217 (271,178)
Citation 2

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Time Series Analysis, Empirical Mode Decomposition, Fourier Analysis, Wavelet Analysis, Independent Component Analysis, X11, Non-Stationary, Graduation, Signal Decomposition

3.

Package CovRegpy: Regularised Covariance Regression and Forecasting in Python

Number of pages: 49 Posted: 04 Mar 2023 Last Revised: 24 Jun 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, affiliation not provided to SSRN and Heriot-Watt University - Department of Computer Science
Downloads 209 (280,913)

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Portfolio Optimisation, Regularised Covariance Regression (RCR), Empirical Mode Decomposition (EMD), Singular Spectrum Analysis (SSA), Singular Spectrum Decomposition (SSD), X11, Implicit Factors, Risk Premia Parity, Risk Parity, Long\Short Equity

4.

GLS Kernel Regression for Network-Structured Data

Number of pages: 33 Posted: 30 Aug 2021
Edward Antonian, Gareth Peters, Mike J. Chantler and Hongxuan Yan
Heriot-Watt University, University of California Santa Barbara, Heriot-Watt University - Department of Computer Science and Chinese Academy of Sciences (CAS)
Downloads 165 (347,113)
Citation 1

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Graph Signal Processing, Regression, Kernel

5.

Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

Number of pages: 51 Posted: 21 May 2023 Last Revised: 30 Aug 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, affiliation not provided to SSRN and Heriot-Watt University - Department of Computer Science
Downloads 148 (379,968)
Citation 1

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Risk parity, Risk premia parity, long/short equity, active fund management, portfolio optimisation, empirical mode decomposition, EMD, singular spectrum analysis, SSA, singular spectrum decomposition, SSD, regularised covariance regression, RCR, expectation maximization

6.

On-chain analytics for sentiment-driven statistical causality in cryptocurrencies: Supplementary appendix

Number of pages: 183 Posted: 06 Apr 2021 Last Revised: 24 Nov 2021
Ioannis Chalkiadakis, Anna Zaremba, Gareth Peters and Mike J. Chantler
Centre National de la Recherche Scientifique, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 68 (641,286)

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Multiple-Output Gaussian Process, Granger causality, sentiment index, sentiment analysis, text mining, multimodal systems, heterogeneous data, cryptocurrencies, cryptocoin markets, natural language processing

7.

Iterative Methods for Signal Reconstruction on Product Graphs with Arbitrary Missing Data

Number of pages: 45 Posted: 21 Nov 2022 Last Revised: 12 Jul 2023
Edward Antonian, Gareth Peters and Mike J. Chantler
Heriot-Watt University, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 55 (710,136)

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Graph, Network, Regression, Reconstruction, Cartesian Product Graph

8.

Supplement to: Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 13 Posted: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 49 (746,857)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

9.

On-chain Analytics for Sentiment-driven Statistical Causality in Cryptocurrencies

Posted: 11 Feb 2021 Last Revised: 22 Nov 2021
Ioannis Chalkiadakis, Anna Zaremba, Gareth Peters and Mike J. Chantler
Centre National de la Recherche Scientifique, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science

Abstract:

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Multiple-Output Gaussian Process, Granger causality, sentiment index, sentiment analysis, text mining, multimodal systems, heterogeneous data, cryptocurrencies, cryptocoin markets, natural language processing