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Apr 13, 2017 at 12:46 history edited CommunityBot
replaced http://quant.stackexchange.com/ with https://quant.stackexchange.com/
Aug 19, 2014 at 11:49 history bounty ended Lucas Morin
Aug 19, 2014 at 11:49 vote accept Lucas Morin
Aug 12, 2014 at 22:50 history edited lehalle CC BY-SA 3.0
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Aug 12, 2014 at 22:25 comment added Lucas Morin Basically: the output take positive values some time after there is a drop on client rates. The lag between the drop and thechange in output depends on the size of the drop.
Aug 12, 2014 at 22:15 comment added Lucas Morin Thanks for your answer, maybe a bit broad. (see my edit). I will look at your last link a bit deeper tomorrow as DNN may be sufficient for what I wanted to do. Would you say that DNN can account for (non-linear ?) lags in the market ? Or is this 'just' a NN on a moving windows ?
Aug 12, 2014 at 21:53 history edited lehalle CC BY-SA 3.0
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Aug 12, 2014 at 21:44 history edited lehalle CC BY-SA 3.0
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Aug 12, 2014 at 21:32 history answered lehalle CC BY-SA 3.0