Ca Foscari University of Venice - Dipartimento di Economia
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Exponent of Hurst, multifractal market hypothesis, fractional Brownian motion,Pareto-Lévy stable process, statistical self-similarity, modified rescaled range (or R/S) analysis,periodogram-based approach, foreign currency markets
Financial Trading System, Reinforcement Learning, Stochastic control, Q-learning algorithm, Kernel-based Reinforcement Learning
Financial trading system, Reinforcement Learning, Q-Learning algorithm, daily stock price time series, FTSE MIB basket
On-line booking, hotel reservation, machine learning, supervised multilayer perceptron networks
Financial trading system, Adaptive Market Hypothesis, model free machine learning, Reinforcement Learning, Q-Learning, SARSA, Italian stock market
Performance attribution, Risk attribution, Brinson Model
portfolio selection, coherent risk measure, fund management constraints, NP-hard mathematical programming problem, PSO, exact penalty method, SP100 index's assets
Comovement, asset prices, bivariate dependence, non-linearity, t-test, polynomial approximation, energy asset, (vanilla) European call and put options, cross-Greeks
Preference disaggregation, Murame, Particle swarm optimization
Research evaluation, bibliometrics, author ranking, $h$-index, scoring rules, fuzzy inference system
Random variables, non-linear bivariate comovement, Rényi dependence axioms
exponent of Hurst; fractional Brownian motion; multi-fractal market hypothesis; Pareto-Levy stable process; R/S analysis
Deterministic PSO, Global Optimization, Portfolio Selection Problems, Exact Penalty functions
Creditworthiness, Multicriteria decision aid, Financial crisis, Rating, Migration probabilities
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