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[ACM Press the 2008 ACM symposium - Fortaleza, Ceara, Brazil (2008.03.16-2008.03.20)] Proceedings of the 2008 ACM symposium on Applied computing - SAC '08 - Data stream mining for market-neutral algorithmic trading

✍ Scribed by Montana, Giovanni; Triantafyllopoulos, Kostas; Tsagaris, Theodoros

Book ID: 118119517
Publisher: ACM Press
Year: 2008
Tongue: English
Weight: 172 KB
Volume: 0
Category: Article
ISBN: 1595937536
DOI: 10.1145/1363686.1363910

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In algorithmic trading applications, a large number of coevolving financial data streams are observed and analyzed. A recurrent and important task is to determine how a given stream depends on others, over time, accounting for dynamic dependence patterns and without imposing any probabilistic law go

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