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Recent work has emphasized the diversification benefits of combining trend signals across multiple horizons, with the medium-term window-typically six months to one year-long viewed as the "sweet spot" of trend-following. This paper…

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High-dimensional time series are a core ingredient of the statistical modeling toolkit, for which numerous estimation methods are known.But when observations are scarce or corrupted, the learning task becomes much harder.The question is:…

Time-averaged autocorrelation functions of a dichotomous random process switching between 1 and 0 and governed by wide power law sojourn time distribution are studied. Such a process, called a L\'evy walk, describes dynamical behaviors of…

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Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…

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