Erik Lindström

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Henrik MadsenProfessor, PhD, DTU Compute, Technical University of DenmarkVerifierad e-postadress på dtu.dk
Peter NystrupTechnical University of DenmarkVerifierad e-postadress på dtu.dk
Lars Josef HöökUppsala Universitet, KTH, Royal Institute of TechnologyVerifierad e-postadress på kth.se
Magnus WiktorssonLund UniversityVerifierad e-postadress på matstat.lu.se
Elisabeth LarssonProfessor of Scientific Computing, Uppsala UniversityVerifierad e-postadress på it.uu.se
Lina von SydowProfessor of Scientific Computing, Department of Information Technology, Uppsala UniversityVerifierad e-postadress på it.uu.se
Petter KolmNYU Courant Institute of Mathematical SciencesVerifierad e-postadress på nyu.edu
Stephen BoydProfessor of Electrical Engineering, Computer Science, and Management Science, StanfordVerifierad e-postadress på stanford.edu
Pierre PinsonProfessor, Imperial College London, Dyson School of Design EngineeringVerifierad e-postadress på imperial.ac.uk
Johan WALDENProfessor of Finance, UC Berkeley - Finance GroupVerifierad e-postadress på berkeley.edu
Jeremy LevesleyProfessor of Applied Mathematics, University of LeicesterVerifierad e-postadress på le.ac.uk
Slobodan MilovanovićBoston Consulting GroupVerifierad e-postadress på bcg.com
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerifierad e-postadress på uu.nl
Johan LindströmAssociate Professor of Mathematical Statistics, Centre for Mathematical Sciences, Lund UniversityVerifierad e-postadress på matstat.lu.se
Edward IonidesUniversity of Michigan, Department of StatisticsVerifierad e-postadress på umich.edu

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Erik Lindström

Lund university

Verifierad e-postadress på maths.lth.se

Financial statistics Stochastic Differential Equations Hidden Markov Models


Titel Sortera efter citat Sortera efter år Sortera efter titel	Citeras av Citeras av	År
Temporal hierarchies with autocorrelation for load forecasting P Nystrup, E Lindström, P Pinson, H Madsen European Journal of Operational Research 280 (3), 876-888, 2020	90	2020
BENCHOP–The BENCHmarking project in option pricing L Von Sydow, L Josef Höök, E Larsson, E Lindström, S Milovanović, ... International Journal of Computer Mathematics 92 (12), 2361-2379, 2015	86	2015
Modeling extreme dependence between European electricity markets E Lindström, F Regland Energy economics 34 (4), 899-904, 2012	86	2012
Multi-period portfolio selection with drawdown control P Nystrup, S Boyd, E Lindström, H Madsen Annals of Operations Research 282 (1), 245-271, 2019	77	2019
Dynamic portfolio optimization across hidden market regimes P Nystrup, H Madsen, E Lindström Quantitative Finance 18 (1), 83-95, 2018	76	2018
Modelling non-linear and non-stationary time series H Madsen, J Holst, E Lindström Lecture Notes, Technical University of Denmark, Dpt. of Informatics and …, 2000	75	2000
Long memory of financial time series and hidden Markov models with time‐varying parameters P Nystrup, H Madsen, E Lindström Journal of Forecasting 36 (8), 989-1002, 2017	72	2017
Sequential calibration of options E Lindström, J Ströjby, M Brodén, M Wiktorsson, J Holst Computational Statistics & Data Analysis 52 (6), 2877-2891, 2008	67	2008
Statistics for finance E Lindström, H Madsen, JN Nielsen Chapman and Hall/CRC, 2018	60	2018
Regime-based versus static asset allocation: Letting the data speak P Nystrup, BW Hansen, H Madsen, E Lindström Journal of Portfolio Management 42 (1), 103, 2015	54	2015
Stylised facts of financial time series and hidden Markov models in continuous time P Nystrup, H Madsen, E Lindström Quantitative Finance 15 (9), 1531-1541, 2015	42	2015
Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets P Nystrup, BW Hansen, HO Larsen, H Madsen, E Lindström Journal of Portfolio Management 44 (2), 62-73, 2018	37	2018
Learning hidden Markov models with persistent states by penalizing jumps P Nystrup, E Lindström, H Madsen Expert Systems with Applications 150, 113307, 2020	34	2020
A regularized bridge sampler for sparsely sampled diffusions E Lindström Statistics and Computing 22, 615-623, 2012	31	2012
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation P Nystrup, B William Hansen, H Madsen, E Lindström Journal of Asset Management 17, 361-374, 2016	25	2016
Dimensionality reduction in forecasting with temporal hierarchies P Nystrup, E Lindström, JK Møller, H Madsen International Journal of Forecasting 37 (3), 1127-1146, 2021	24	2021
Greedy online classification of persistent market states using realized intraday volatility features P Nystrup, PN Kolm, E Lindström Journal of Financial Data Science 2 (3), 25-39, 2020	24	2020
Estimating parameters in diffusion processes using an approximate maximum likelihood approach E Lindström Annals of Operations Research 151, 269-288, 2007	24	2007
Implications of parameter uncertainty on option prices. E Lindström Advances in Decision Sciences, 2010	22	2010
Feature Selection in Jump Models P Nystrup, PN Kolm, E Lindstrom Expert Systems with Applications 184 (1), 115558, 2021	21	2021

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