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Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading
Yi-Ting Chen
, Edward W. Sun
*
, Min-Teh Yu
*
此作品的通信作者
資訊工程學系
研究成果
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13
引文 斯高帕斯（Scopus）
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Keyphrases
Risk Assessment
100%
Risk Measures
100%
Feature Engineering
100%
Wavelet Features
100%
Portfolio Trading
100%
Time Inconsistency
50%
Portfolio Optimization
50%
Conditional Value at Risk
50%
Product Space
50%
Dynamic Risk Assessment
50%
Discrete Wavelet Transform
25%
Random Variables
25%
Multiple Stages
25%
Risk Value
25%
High-frequency Data
25%
Value Measures
25%
Dynamic Risk Management
25%
Risk Portfolio
25%
Mathematics
Wavelet
100%
Risk Measure
100%
Product Space
40%
Discrete Wavelet Transform
20%
Value at Risk
20%
Conditional Value At Risk
20%
High-Frequency Data
20%
Random Variable
20%
Computer Science
Value at Risk
100%
Risk Management
50%
Wavelet Transforms
50%
Random Variable
50%
Economics, Econometrics and Finance
Portfolio Selection
100%
Risk Management
50%