54 citations · 55 across the 4 of their papers we have counts for
4 papers
Sparse partial least squares for on-line variable selection in multivariate data streams
Brian McWilliams, Giovanni Montana
In this paper we propose a computationally efficient algorithm for on-line variable selection in multivariate regression problems involving high dimensional data streams. The algor…
Dynamic modeling of mean-reverting spreads for statistical arbitrage
Kostas Triantafyllopoulos, Giovanni Montana
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gau…
Flexible least squares for temporal data mining and statistical arbitrage
Giovanni Montana, Kostas Triantafyllopoulos, Theodoros Tsagaris
A number of recent emerging applications call for studying data streams, potentially infinite flows of information updated in real-time. When multiple co-evolving data streams are…
Fast estimation of multivariate stochastic volatility
Kostas Triantafyllopoulos, Giovanni Montana
In this paper we develop a Bayesian procedure for estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and…