On the classification of financial data with domain agnostic features

Bastos, João A.; Caiado, Jorge

http://hdl.handle.net/10400.5/21676

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Autores

Bastos, João A.

Caiado, Jorge

Resumo(s)

We compare a data-driven domain agnostic set of canonical features with a smaller collection of features that capture well-known stylized facts about financial asset returns. We show that these facts discriminate better different asset types than general-purpose features. Therefore, financial time series analysis is a domain where well-informed expert knowledge may not be disregarded in favor of agnostic representations of the data.

Palavras-chave

Financial economics Time series Clustering Classification Machine learning

URI

http://hdl.handle.net/10400.5/21676

Citação

Bastos, João A. e Jorge Caiado (2021). "On the classification of financial data with domain agnostic features". Instituto Superior de Economia e Gestão – REM Working paper nº 0185 – 2021

Editora

ISEG - REM - Research in Economics and Mathematics

Coleções

REM - REM Working Papers Series

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