Sparse, mean reverting portfolio selection using simulated annealing N Fogarasi, J Levendovszky Algorithmic Finance 2 (3-4), 197-211, 2013 | 33 | 2013 |
Applying independent component analysis and predictive systems for algorithmic trading A Ceffer, J Levendovszky, N Fogarasi Computational Economics 54, 281-303, 2019 | 11 | 2019 |
A simplified approach to parameter estimation and selection of sparse, mean reverting portfolios N Fogarasi, J Levendovszky Periodica Polytechnica 56 (1), 21-28, 2012 | 8 | 2012 |
Improved parameter estimation and simple trading algorithm for sparse, mean-reverting portfolios N Fogarasi, J Levendovszky Annales Univ. Sci. Budapest., Sect. Comp 37, 121-144, 2012 | 7 | 2012 |
Trading by estimating the quantized forward distribution A Ceffer, N Fogarasi, J Levendovszky Applied Economics 50 (59), 6397-6405, 2018 | 6 | 2018 |
Quantum advantage of Monte Carlo option pricing Z Udvarnoki, G Fáth, N Fogarasi Journal of Physics Communications 7 (5), 055001, 2023 | 5 | 2023 |
A novel Hopfield neural network approach for minimizing total weighted tardiness of jobs scheduled on identical machines N Fogarasi, K Tornai, J Levendovszky arXiv preprint arXiv:1208.4583, 2012 | 4 | 2012 |
On partial sorting in restricted rounds A Iványi, N Fogarasi Acta Universitatis Sapientiae, Informatica 9 (1), 17-34, 2017 | 3 | 2017 |
Trading sparse, mean reverting portfolios using VAR (1) and LSTM prediction A Rácz, N Fogarasi Acta Universitatis Sapientiae, Informatica 13 (2), 288-302, 2021 | 2 | 2021 |
Applying ICA and NARX networks for algorithmic trading A Ceffer, J Levendovszky, N Fogarasi | 1 | 2016 |
Improvements to the hopfield neural network solution of the TWT scheduling problem K Tornai, N Fogarasi, J Levendovszky Periodica Polytechnica Electrical Engineering and Computer Science 57 (2), 57-64, 2013 | 1 | 2013 |
Effective Convergence Trading of Sparse, Mean Reverting Portfolios A Rácz, N Fogarasi Computational Economics, 1-15, 2024 | | 2024 |
Improved sparse mean reverting portfolio selection using Simulated Annealing and Extreme Learning Machine A Rácz, N Fogarasi submitted to Algorithmic Finance 289, 2024 | | 2024 |
Polynomial time heuristic optimization methods applied to problems in computational finance N Fogarasi Budapesti Műszaki és Gazdaságtudományi Egyetem, 2014 | | 2014 |
Combinatorial methods for solving the generalized eigenvalue problem with cardinality constraint for mean reverting trading N Fogarasi, J Levendovszky Zoltán Csörnyei (Ed.), 43, 2012 | | 2012 |
Informatica-Contents of Volume 4, Number 1, 2012. T Gregorics, L László, V Sargsyan, N Fogarasi, K Tornai, J Levendovszky, ... Acta Universitatis Sapientiae 4 (1), 119-129, 2012 | | 2012 |
Selection and LSTM based trading of sparse, optimal portfolios using the VAR (p) model A Rácz, N Fogarasi | | |
ARTICLE TEMPLATE A Ceffer, N Fogarasi, J Levendovszky | | |