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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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2021
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| Texto completo: | http://hdl.handle.net/10400.5/21676 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/21676 |