| Paper: | BD-P1.7 |
| Session: | Signal Processing for Big Data II |
| Location: | Churchill: Poster Area I |
| Session Time: | Wednesday, March 8, 08:30 - 10:30 |
| Presentation Time: | Wednesday, March 8, 08:30 - 10:30 |
| Presentation: |
Poster
|
| Topic: |
Signal Processing for Big Data: Learning and inference with big data |
| Paper Title: |
FORECASTING COVARIANCE FOR OPTIMAL CARRY TRADE PORTFOLIO ALLOCATIONS |
| Authors: |
Matthew Ames, University College London, United Kingdom; Guillaume Bagnarosa, ESC Rennes School of Business, France; Gareth Peters, University College London, United Kingdom; Pavel Shevchenko, Macquarie University, Australia; Tomoko Matsui, The Institute of Statistical Mathematics, Japan |