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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2014
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| 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 |