Financial Markets: Very Noisy Information Processing
نویسندگان
چکیده
Financial Markets: Very Noisy Information Processing Malik Magdon-Ismail, Alexander Nicholson and Yaser S. Abu-Mostafa Abstract| We report new results about the impact of noise on information processing, with application to nancial markets. These results quantify the tradeo 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 non-linear learning models and algorithms, and for di erent noise models. Keywords| Learning, Noise, Convergence, Bounds, Test Error, Generalization Error, Model Limitation, Volatility.
منابع مشابه
Financial Markets: Very Noisy Information Processing - Proceedings of the IEEE
We report new results about the impact of noise on information processing with application to financial markets. These results quantify the tradeoff 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...
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