Thomas Schmelzer

most citedConstructing trading strategy ensembles by classifying market states

1 citations · 1 across the 1 of their papers we have counts for

collaborators

2 papers

math.CA2026

The `1/9'-problem for the $φ$ -functions

Thomas Schmelzer

The functions $φ_{ℓ} (z) = (e^{z} - s_{ℓ} (z)) / z^{ℓ}$ , with $s_{ℓ}$ the Taylor polynomial of $e^{z}$ of degree $ℓ - 1$ , are what exponential integrators evaluate, and they evaluate them…

q-fin.TR2020★ 1 cited

Constructing trading strategy ensembles by classifying market states

Michal Balcerak, Thomas Schmelzer

Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous stan…

The `1/9'-problem for the φ-functions

Constructing trading strategy ensembles by classifying market states

The `1/9'-problem for the $φ$ -functions