Financial Mathematics Group

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2025
Mark Robust statistical jump models
Lindström, Erik ^LU and Persson, Jonatan ^LU (2025) Forecasting Financial Markets Conference
- Contribution to conference › Paper, not in proceeding
2024
Mark On approximating dependence function and its derivatives
Tajvidi, Nader ^LU (2024) In Extremes 27(3). p.479-503
- Contribution to journal › Article
Mark Optimizing the hydraulic power take-off system in a wave energy converter
Zeinali, Shokoufa ^LU ; Wiktorsson, Magnus ^LU ; Forsberg, Jan ; Lindgren, Georg ^LU and Lindström, Johan ^LU (2024) In Ocean Engineering 310.
- Contribution to journal › Article
2023
Mark GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
Cortese, Federico ^LU ; Kolm, Petter Nils ^LU and Lindström, Erik ^LU (2023) p.68-78
- Chapter in Book/Report/Conference proceeding › Book chapter
Mark What drives cryptocurrency returns? A sparse statistical jump model approach
Cortese, Federico P. ^LU ; Kolm, Petter N. ^LU and Lindström, Erik ^LU (2023) In Digital Finance
- Contribution to journal › Article
2021
Mark Dimensionality reduction in forecasting with temporal hierarchies
Nystrup, Peter ^LU ; Lindström, Erik ^LU ; Møller, Jan K. and Madsen, Henrik (2021) In International Journal of Forecasting 37(3). p.1127-1146
- Contribution to journal › Article
Mark Feature selection in jump models
Nystrup, Peter ^LU ; Kolm, Petter N. and Lindström, Erik ^LU (2021) In Expert Systems with Applications 184.
- Contribution to journal › Article
2020
Mark Temporal hierarchies with autocorrelation for load forecasting
Nystrup, Peter ^LU ; Lindström, Erik ^LU ; Pinson, Pierre and Madsen, Henrik (2020) In European Journal of Operational Research 280(3). p.876-888
- Contribution to journal › Article
Mark Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
Nystrup, Peter ^LU ; N. Kolm, Petter and Lindström, Erik ^LU (2020) In The Journal of Financial Data Science 2(3). p.25-39
- Contribution to journal › Article
Mark Hyperparameter Optimization for Portfolio Selection
Nystrup, Peter ^LU ; Lindström, Erik ^LU and Henrik, Madsen (2020) In The Journal of Financial Data Science 2(2).
- Contribution to journal › Article

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