On the classification of financial data with domain agnostic features

We compare a data-driven domain agnostic set of canonical features with a smaller collection of features that capture well-known stylized facts about financial asset returns. We show that these facts discriminate better different asset types than general-purpose features. Therefore, financial time s...

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Bibliographic Details
Main Author: Bastos, João A. (author)
Other Authors: Caiado, Jorge (author)
Format: workingPaper
Language:eng
Published: 2021
Subjects:
Financial economics
Time series
Clustering
Classification
Machine learning
Online Access:http://hdl.handle.net/10400.5/21676
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/21676

Internet

http://hdl.handle.net/10400.5/21676

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