Financial markets: very noisy information processing
Magdon-Ismail, M.
Nicholson, A.
Abu-Mostafa, Y.S.
Learning Syst. Group, California Inst. of Technol., Pasadena, CA;
This paper appears in: Proceedings of the IEEE
Publication Date: Nov 1998
Volume: 86,
Issue: 11
On page(s): 2184-2195
ISSN: 0018-9219
References Cited: 19
CODEN: IEEPAD
INSPEC Accession Number: 6081648
Digital Object Identifier: 10.1109/5.726786
Current Version Published: 2002-08-06
Abstract
We report new results about the impact of noise on information
processing with application to financial markets. These results quantify
the trade-off between the amount of data and the noise level in the
data. They also provide estimates for the performance of a learning
system in terms of the noise level. We use these results to derive a
method for detecting the change in market volatility from period to
period. We successfully apply these results to the four major foreign
exchange markets. The results hold for linear as well as nonlinear
learning models and algorithms and for different noise models
Index
Terms
Available to subscribers and IEEE members.
References
Available to subscribers and IEEE members.
Citing Documents
Available to subscribers and IEEE members.
Cart
