Seminar 217, Risk Management: Greedy online classification of persistent market states using realized intraday volatility features (Online)
Feb 16, 2021, 11:00 AM - 12:30 PM | Online | Happening As Scheduled
Petter Kolm, New York University (Speaker)
ABSTRACT: In many financial applications it is important to classify time series data without any latency while maintaining persistence in the identified states. We propose a greedy online classifier that contemporaneously determines which hidden state a new observation belongs to without the need to parse historical observations and without compromising persistence. Our classifier is based on...