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Refinado por: autor: Mamon, Rogemar remover
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Interfacing learning methods for anomaly detection in multi-country financial stress indicators
Interfacing learning methods for anomaly detection in multi-country financial stress indicators
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Interfacing learning methods for anomaly detection in multi-country financial stress indicators

Gu, Xing ; Mamon, Rogemar ; Duprey, Thibaut

Knowledge-based systems, 2024-06, Vol.294, Article 111712 [Periódico revisado por pares]

Elsevier B.V

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2
An automated financial indices-processing scheme for classifying market liquidity regimes
An automated financial indices-processing scheme for classifying market liquidity regimes
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An automated financial indices-processing scheme for classifying market liquidity regimes

Gu, Xing ; Mamon, Rogemar ; Davison, Matt ; Yu, Hao

International journal of control, 2021-03, Vol.94 (3), p.735-756 [Periódico revisado por pares]

Abingdon: Taylor & Francis

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3
The price tag of cyber risk: A signal-processing approach
The price tag of cyber risk: A signal-processing approach
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The price tag of cyber risk: A signal-processing approach

Li, Yuying ; Mamon, Rogemar

IEEE access, 2023-01, Vol.11, p.1-1 [Periódico revisado por pares]

Piscataway: IEEE

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4
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes
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Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes

Tenyakov, Anton ; Mamon, Rogemar ; Davison, Matt

IEEE journal of selected topics in signal processing, 2016-09, Vol.10 (6), p.994-1005 [Periódico revisado por pares]

New York: IEEE

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5
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach
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Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach

Tenyakov, Anton ; Mamon, Rogemar ; Davison, Matt

Knowledge-based systems, 2016-06, Vol.101, p.142-155 [Periódico revisado por pares]

Elsevier B.V

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6
Filtering and forecasting commodity futures prices under an HMM framework
Filtering and forecasting commodity futures prices under an HMM framework
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Filtering and forecasting commodity futures prices under an HMM framework

Date, Paresh ; Mamon, Rogemar ; Tenyakov, Anton

Energy economics, 2013-11, Vol.40, p.1001-1013 [Periódico revisado por pares]

Amsterdam: Elsevier B.V

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7
A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics
A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics
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A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics

Xiong, Heng ; Mamon, Rogemar

Journal of computational science, 2016-11, Vol.17, p.47-61 [Periódico revisado por pares]

Elsevier B.V

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8
An examination of HMM-based investment strategies for asset allocation
An examination of HMM-based investment strategies for asset allocation
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An examination of HMM-based investment strategies for asset allocation

Erlwein, Christina ; Mamon, Rogemar ; Davison, Matt

Applied stochastic models in business and industry, 2011-05, Vol.27 (3), p.204-221 [Periódico revisado por pares]

Chichester, UK: John Wiley & Sons, Ltd

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