Search Results for author: Jennifer Chan

Found 4 papers, 1 papers with code

Time-varying neural network for stock return prediction

1 code implementation5 Mar 2020 Steven Y. K. Wong, Jennifer Chan, Lamiae Azizi, Richard Y. D. Xu

We propose the online early stopping algorithm and show that a neural network trained using this algorithm can track a function changing with unknown dynamics.

Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks

no code implementations26 Jan 2020 Nick James, Max Menzies, Jennifer Chan

This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets.

Econometrics Management +3

Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

no code implementations12 Dec 2019 Nick James, Max Menzies, Jennifer Chan

First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance.

Anomaly Detection Time Series +1

Novel semi-metrics for multivariate change point analysis and anomaly detection

no code implementations4 Nov 2019 Nick James, Max Menzies, Lamiae Azizi, Jennifer Chan

This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by measuring distances between structural breaks within such a collection.

Anomaly Detection Time Series +1

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