Hugh L. Christensen, James Murphy, Simon J. Godsill. Forecasting High-Frequency Futures Returns Using Online Langevin Dynamics. J. Sel. Topics Signal Processing, 6(4):366-380, 2012. [doi]
@article{ChristensenMG12,
title = {Forecasting High-Frequency Futures Returns Using Online Langevin Dynamics},
author = {Hugh L. Christensen and James Murphy and Simon J. Godsill},
year = {2012},
doi = {10.1109/JSTSP.2012.2191532},
url = {http://dx.doi.org/10.1109/JSTSP.2012.2191532},
researchr = {https://researchr.org/publication/ChristensenMG12},
cites = {0},
citedby = {0},
journal = {J. Sel. Topics Signal Processing},
volume = {6},
number = {4},
pages = {366-380},
}