Tag Info

New answers tagged

0

It depends on the data, horizon, inputs, etc. Wavelet transforms seems to be good for reducing time, and PCA seems to be good for reducing assets. There's been a lot of work done in this area, so e.g., look at Jurik Research WAV and DDR modules. Their results indicate that you don't know which bars (days for EOD) are the most informative and also which ...



Top 50 recent answers are included