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Domains
Statistics [stat]/Applications [stat.AP]
1
Keywords
Quantitative finance
Efficient Market Hypothesis
Multifractional Brownian motion mBm
Sparse model
Model selection
Fractional Brownian motion fBm
Big data
Portemanteau test
Behavioural finance
Hurst index
Behavioural finance
1
Big data
1
Efficient Market Hypothesis
1
Fractional Brownian motion fBm
1
Hurst index
1
Model selection
1
Multifractional Brownian motion mBm
1
Portemanteau test
1
Quantitative finance
1
Sparse model
1
Co-authors
Nabiha Haouas
1
Pierre, Raphael Bertrand
1
Affiliations
Université d'Auvergne - Clermont-Ferrand I
1
PAS
1
Production year
2015
1
ANR Projects
Design of Well Being Monitoring Systems
1
Export Publications
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Number of documents
1
CV Marie-Eliette Dury
35062
Preprints, Working Papers, ...
1 document
Pierre, Raphael Bertrand, Marie-Eliette Dury, Nabiha Haouas. Selection of sparse multifractional model. 2015.
⟨hal-01194347⟩