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A feature set for streams and an application to high-frequency financial tick data

Year: 2014

Type: conference-paper

Source: International Conference on Big Data Science and Computing (BigDataScience)

DOI: 10.1145/2640087.2644157

Authors: Terry Lyons, Hao Ni, Harald Oberhauser

Institution: University of Oxford

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Engineering and Physical Sciences Research Council

Award: G7326578543

OpenAlex ID: W2139794777

FWCI: 5.094

Cites: 20

Cited by: 47

Related to: 10