Single Stock Dynamics on High-Frequency Data: From a Compressed Coding Perspective

High-frequency return, trading volume and transaction number are digitally coded via a nonparametric computing algorithm, called hierarchical factor segmentation (HFS), and then are coupled together to reveal a single stock dynamics without global state-space structural assumptions. The base-8 digit...

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Detalles Bibliográficos
Autores principales: Fushing, Hsieh, Chen, Shu-Chun, Hwang, Chii-Ruey
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3931700/
https://www.ncbi.nlm.nih.gov/pubmed/24586235
http://dx.doi.org/10.1371/journal.pone.0085018

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3931700/
https://www.ncbi.nlm.nih.gov/pubmed/24586235
http://dx.doi.org/10.1371/journal.pone.0085018

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