Erik Lindström

Professor
Fler filtreringsmöjligheter
  1. 2021
  2. Dimensionality reduction in forecasting with temporal hierarchies

    Peter Nystrup, Erik Lindström, Jan K. Møller & Henrik Madsen, 2021, I: International Journal of Forecasting. 37, 3, s. 1127-1146 20 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  3. 2020
  4. Hyperparameter Optimization for Portfolio Selection

    Peter Nystrup, Erik Lindström & Madsen Henrik, 2020 jun 18, I: The Journal of Financial Data Science. 2, 2

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  5. Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

    Peter Nystrup, Petter N. Kolm & Erik Lindström, 2020, I: The Journal of Financial Data Science. 2, 3, s. 25-39 15 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  6. Learning hidden Markov models with persistent states by penalizing jumps

    Peter Nystrup, Erik Lindström & Henrik Madsen, 2020, I: Expert Systems with Applications. 150, 113307.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  7. Temporal hierarchies with autocorrelation for load forecasting

    Peter Nystrup, Erik Lindström, Pierre Pinson & Henrik Madsen, 2020, I: European Journal of Operational Research. 280, 3, s. 876-888 13 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  8. 2019
  9. Fourier Method for Valuation of Options under Parameter and State Uncertainty

    Erik Lindström, 2019 nov 29, I: Journal of Derivatives. 27, 2, s. 62-80

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  10. Temporal hierarchies with autocorrelation for load forecasting

    Peter Nystrup, Erik Lindström, Henrik Madsen & Pierre Pinson, 2019 jun 17.

    Forskningsoutput: KonferensbidragKonferensabstract

  11. LPJ-GM 1.0: Simulating migration efficiently in a dynamic vegetation model

    Veiko Lehsten, Michael Mischurow, Erik Lindström, Dorte Lehsten & Heike Lischke, 2019 mar 8, I: Geoscientific Model Development. 12, 3, s. 893-908 16 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  12. Multi-period portfolio selection with drawdown control

    Peter Nystrup, Stephen Boyd, Erik Lindström & Henrik Madsen, 2019, I: Annals of Operations Research. 282, 1-2, s. 245-271

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  13. Spatial statistical modelling of insurance risk: a spatial epidemiological approach to car insurance

    Oskar Tufvesson, Johan Lindström & Erik Lindström, 2019, I: Scandinavian Actuarial Journal. 2019, 6, s. 508-522

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  14. 2018
  15. A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models

    Erik Lindström & Daniel Damberg, 2018 jul 16, (Accepted/In press).

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  16. Practical Applications of Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

    Peter Nystrup, Bo William Hansen, Henrik Olejasz Larsen, Henrik Madsen & Erik Lindström, 2018 apr 30, I: Practical Applications. 5, 4, 5 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  17. Intelligent, Flexible production in an Energy System Dominated by Renewables.

    Erik Lindström, 2018 jan 22, Symposium i anvendt statistik : 22.-24. januar 2018. Copenhagen, s. 23-31

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKapitel samlingsverk

  18. Dynamic portfolio optimization across hidden market regimes

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2018 jan, I: Quantitative Finance. 18, 1, s. 83-95

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  19. Optimal adaptive sequential calibration of option models

    Erik Lindström & Carl Åkerlindh, 2018, International Series in Operations Research and Management Science. Springer, Vol. 257. s. 165-181 17 s. (International Series in Operations Research and Management Science; vol. 257).

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKapitel samlingsverk

  20. Unbiased Adaptive LASSO parameter estimation for diffusion processes

    Erik Lindström & Lars Josef Höök, 2018, 18th IFAC Symposium on System Identification SYSID 2018. Elsevier, s. 257-262 (IFAC-PapersOnLine; vol. 51, nr. 15).

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceeding

  21. 2017
  22. Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2017 dec, I: Journal of Forecasting. 36, 8, s. 989-1002

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  23. Spatial Statistical Modeling of Insurance Risk An epidemiologist approach to car insurance

    Oscar Tufvesson, Johan Lindström & Erik Lindström, 2017 okt 4.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  24. Multi-Period Portfolio Selection with Drawdown Control

    Nystrup Peter, Madsen Henrik, Stephen Boyd & Erik Lindström, 2017 jun 28.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  25. Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

    Peter Nystrup, Bo William Hansen, Henrik Olejasz Larsen, Henrik Madsen & Erik Lindström, 2017, I: Journal of Portfolio Management. 44, 2, s. 62-73 12 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  26. 2016
  27. Dynamic Portfolio Optimization Across Hidden Market Regimes

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2016 nov 19.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  28. Parameter Estimation in Finance Using Radial Basis Function Methods

    Elisabeth Larsson, Lars Josef Höök, Erik Lindström & Lina von Sydow, 2016 nov 19.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  29. Efficient computation of the quasi likelihood function for discretely observed diffusion processes

    Lars Josef Höök & Erik Lindström, 2016 nov, I: Computational Statistics & Data Analysis. 103, s. 426-437 12 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  30. Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation

    Peter Nystrup, Bo William Hansson, Henrik Madsen & Erik Lindström, 2016 sep, I: Journal of Asset Management. 17, 5, s. 361-374

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  31. Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions

    Erik Lindström & Carl Åkerlindh, 2016.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  32. Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak

    Nystrup Peter, Hansson Bo William, Henrik Madsen & Erik Lindström, 2016, I: Journal of Portfolio Management. 42, 1, s. 103-109 7 s.

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  33. 2015
  34. A Stability Analysis of the Nord Pool system using hourly spot price data.

    Erik Lindström & Vicke Norén, 2015, I: Journal of Energy Challenges and Mechanics. 2, 3, s. 85-90

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  35. BENCHOP—The BENCHmarking project in Option Pricing

    Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanović, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov & Yangzhang Zhao, 2015, I: International Journal of Computer Mathematics. 92, 12, s. 2361-2379

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  36. Consumption management in the Nord Pool region: A stability analysis

    Erik Lindström, Vicke Noren & Henrik Madsen, 2015, I: Applied Energy. 146, s. 239-246

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  37. Kernel-based Estimate of the Insulin Action of Rapid-Acting Insulin in Home-Monitored Data

    Fredrik Ståhl, Erik Lindström, Mona Landin-Olsson & Rolf Johansson, 2015, IFAC-PapersOnLine. 28 uppl. IFAC, Vol. 48. s. 715-720 5 s.

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceeding

  38. Regime-Based Versus Static Asset Allocation: Letting the Data Speak

    Nystrup Peter, Hansson Bo William, Madsen Henrik & Erik Lindström, 2015, I: Journal of Portfolio Management. 42, 1, s. 103-109

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  39. Statistics for Finance

    Erik Lindström, Henrik Madsen & Jan Nygaard Nielsen, 2015, (Accepted/In press) Chapman and Hall. 384 s. (Chapman & Hall/CRC Texts in Statistical Science)

    Forskningsoutput: Bok/rapportBok

  40. Stylised facts of financial time series and hidden Markov models in continuous time

    Nystrup Peter, Madsen Henrik & Erik Lindström, 2015, I: Quantitative Finance. 15, 9, s. 1531-1541

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  41. Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2015.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  42. Stylized facts of financial time series hidden Markov models with time varying parameters

    Peter Nystrup, Henrik Madsen & Erik Lindström, 2015.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  43. 2014
  44. A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes

    Josef Höök & Erik Lindström, 2014, I: [Publication information missing].

    Forskningsoutput: TidskriftsbidragPublicerat konferensabstract

  45. Fast Valuation of Options Under Parameter Uncertainty

    Erik Lindström & Hanna Wu, 2014.

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  46. Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs

    Josef Höök, Elisabeth Larsson, Erik Lindström & Lina von Sydow, 2014, I: [Publication information missing].

    Forskningsoutput: TidskriftsbidragPublicerat konferensabstract

  47. Tuned Sequential Calibration of Options

    Erik Lindström & Carl Åkerlindh, 2014, (Unpublished).

    Forskningsoutput: KonferensbidragKonferenspaper, ej i proceeding/ej förlagsutgivet

  48. 2013
  49. Semiparametric lag dependent functions

    Erik Lindström, 2013, I: Applied Mathematical Sciences. 7, 12, s. 551-566

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  50. Simultaneous Calibration and Quadratic Hedging of Options

    Erik Lindström & Jingyi Guo, 2013, I: Quantitative and Qualitative Analysis in Social Sciences. 7, 1

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  51. Simultaneous Calibration and Quadratic Hedging of Options

    Erik Lindström & Guo Jingyi, 2013, [Host publication title missing]. BMRC-QASS

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceeding

  52. Tuned iterated filtering

    Erik Lindström, 2013, I: Statistics and Probability Letters. 83, 9, s. 2077-2080

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  53. 2012
  54. A regularized bridge sampler for sparsely sampled diffusions

    Erik Lindström, 2012, I: Statistics and Computing. 22, 2, s. 615-623

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  55. Efficient Iterated Filtering

    Erik Lindström, Edward Ionides, Jan Frydendall & Henrik Madsen, 2012, IFAC-PapersOnLine (System Identification, Volume 16). IFAC & Elsevier Ltd., s. 1785-1790 6 s.

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceeding

  56. Independent Spike Models: Estimation and Validation

    Fredrik Regland & Erik Lindström, 2012, I: Finance a Úver. 62, 2, s. 180-196

    Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

  57. Inference for Non-linear Diffusions and Jump-Diffusions: A Monte Carlo EM approach

    Erik Lindström, 2012, Recent Researches in Automatic Control and Electronics, Proceedings of the 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12). Nola, V., Kadoch, M. & Zemilak, A. (red.). WSEAS Press, s. 110-115 6 s.

    Forskningsoutput: Kapitel i bok/rapport/Conference proceedingKonferenspaper i proceeding

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