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

Abstract: 

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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Paper Details

Authors:
Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano
Submitted On:
15 May 2020 - 5:45pm
Short Link:
Type:
Presentation Slides
Event:
Presenter's Name:
Betania Silva Carneiro Campello
Paper Code:
4304
Document Year:
2020
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Document Files

campello_icassp_final.pdf

(18)

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[1] Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano, "Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach", IEEE SigPort, 2020. [Online]. Available: http://sigport.org/5356. Accessed: Jul. 14, 2020.
@article{5356-20,
url = {http://sigport.org/5356},
author = {Betania S.C. Campello; Leonardo T. Duarte; João M. T. Romano },
publisher = {IEEE SigPort},
title = {Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach},
year = {2020} }
TY - EJOUR
T1 - Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach
AU - Betania S.C. Campello; Leonardo T. Duarte; João M. T. Romano
PY - 2020
PB - IEEE SigPort
UR - http://sigport.org/5356
ER -
Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano. (2020). Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach. IEEE SigPort. http://sigport.org/5356
Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano, 2020. Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach. Available at: http://sigport.org/5356.
Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano. (2020). "Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach." Web.
1. Betania S.C. Campello, Leonardo T. Duarte, João M. T. Romano. Adaptive prediction of financial time-series for decision-making using a tensorial aggregation approach [Internet]. IEEE SigPort; 2020. Available from : http://sigport.org/5356