Machine learning in quantitative finance

HG Finance;QA75 Electronic computers. Computer science

Ha, Youngmin ; Cerrato, Mario

University:University of Glasgow

Department:Adam Smith Business School

关键词: relevance vector machine, online portfolio selection, algorithmic trading.;   

Others  :  http://theses.gla.ac.uk/8558/7/2017haphd.pdf

来源: University of Glasgow

【 摘 要 】

This thesis consists of the three chapters.Chapter 1 aims to decrease the time complexity of multi-output relevance vector regression from O(VM^3) to O(V^3+M^3), where V is the number of output dimensions, M is the number of basis functions, and V