1 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.ST2021★ 1 cited
Trend-Following Strategies via Dynamic Momentum Learning
Bruno P. C. Levy, Hedibert F. Lopes
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen…
q-fin.ST2021★ 1 cited
Dynamic Portfolio Allocation in High Dimensions using Sparse Risk Factors
Bruno P. C. Levy, Hedibert F. Lopes
We propose a fast and flexible method to scale multivariate return volatility predictions up to high-dimensions using a dynamic risk factor model. Our approach increases parsimony…
econ.EM2021
Dynamic Ordering Learning in Multivariate Forecasting
Bruno P. C. Levy, Hedibert F. Lopes
In many fields where the main goal is to produce sequential forecasts for decision making problems, the good understanding of the contemporaneous relations among different series i…