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Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach

Citation Author(s):
Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano
Submitted by:
Betania Campello
Last updated:
15 May 2020 - 5:45pm
Document Type:
Presentation Slides
Document Year:
2020
Event:
Presenters:
Betania Silva Carneiro Campello
Paper Code:
4304
 

Economic and financial decision-making may cause a significant impact on government, society, and industries. Due to the increasing volume of data, decision science has become an interdisciplinary field of study, supported by efficient methods and models of data analysis. Our contributions lie exactly in the intersection of signal processing, tensorial algebra, and decision science. More precisely, we introduce a novel approach in which the data taken into account in the decision process is modeled as a tensor. Moreover, we apply adaptive prediction methods for aggregating the decision tensor. Results provided by numerical experiments with both synthetic and actual data attest to the efficacy of our proposal in better supporting economic and financial decisions.

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