Sequence Modeling

Matthew F. Dixon, Igor Halperin and Paul Bilokon
Additional contact information
Matthew F. Dixon: Illinois Institute of Technology, Department of Applied Mathematics
Igor Halperin: New York University, Tandon School of Engineering
Paul Bilokon: Imperial College London, Department of Mathematics

Chapter Chapter 6 in Machine Learning in Finance, 2020, pp 191-220 from Springer

Abstract: Abstract This chapter provides an overview of the most important modeling concepts in financial econometrics. Such methods form the conceptual basis and performance baseline for more advanced neural network architectures presented in the next chapter. In fact, each type of architecture is a generalization of many of the models presented here. This chapter is especially useful for students from an engineering or science background, with little exposure to econometrics and time series analysis.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-41068-1_6

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DOI: 10.1007/978-3-030-41068-1_6

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