Edit Profile (opens in new tab) Nystrup, Peter Compute Distance To: Compute Author ID: nystrup.peter Published as: Nystrup, Peter Documents Indexed: 7 Publications since 2015 Co-Authors: 5 Co-Authors with 7 Joint Publications 210 Co-Co-Authors Co-Authors 0 single-authored 6 Lindström, Erik 6 Madsen, Henrik O. 2 Boyd, Stephen Poythress 1 Hallac, David 1 Pinson, Pierre Serials 3 Quantitative Finance 1 Annals of Operations Research 1 European Journal of Operational Research 1 Journal of Forecasting 1 Advances in Data Analysis and Classification. ADAC Fields 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Probability theory and stochastic processes (60-XX) 3 Statistics (62-XX) 2 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 7 Publications have been cited 29 times in 22 Documents Cited by ▼ Year ▼ Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104Nystrup, Peter; Madsen, Henrik; Lindström, Erik 10 2017 Stylised facts of financial time series and hidden Markov models in continuous time. Zbl 1398.91691Nystrup, Peter; Madsen, Henrik; Lindström, Erik 4 2015 Greedy Gaussian segmentation of multivariate time series. Zbl 1459.62170Hallac, David; Nystrup, Peter; Boyd, Stephen 4 2019 Multi-period portfolio selection with drawdown control. Zbl 1430.91088Nystrup, Peter; Boyd, Stephen; Lindström, Erik; Madsen, Henrik 4 2019 Dynamic portfolio optimization across hidden market regimes. Zbl 1400.91560Nystrup, Peter; Madsen, Henrik; Lindström, Erik 3 2017 Temporal hierarchies with autocorrelation for load forecasting. Zbl 1430.62210Nystrup, Peter; Lindström, Erik; Pinson, Pierre; Madsen, Henrik 3 2020 Dynamic portfolio optimization across hidden market regimes. Zbl 1471.91509Nystrup, Peter; Madsen, Henrik; Lindström, Erik 1 2018 Temporal hierarchies with autocorrelation for load forecasting. Zbl 1430.62210Nystrup, Peter; Lindström, Erik; Pinson, Pierre; Madsen, Henrik 3 2020 Greedy Gaussian segmentation of multivariate time series. Zbl 1459.62170Hallac, David; Nystrup, Peter; Boyd, Stephen 4 2019 Multi-period portfolio selection with drawdown control. Zbl 1430.91088Nystrup, Peter; Boyd, Stephen; Lindström, Erik; Madsen, Henrik 4 2019 Dynamic portfolio optimization across hidden market regimes. Zbl 1471.91509Nystrup, Peter; Madsen, Henrik; Lindström, Erik 1 2018 Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104Nystrup, Peter; Madsen, Henrik; Lindström, Erik 10 2017 Dynamic portfolio optimization across hidden market regimes. Zbl 1400.91560Nystrup, Peter; Madsen, Henrik; Lindström, Erik 3 2017 Stylised facts of financial time series and hidden Markov models in continuous time. Zbl 1398.91691Nystrup, Peter; Madsen, Henrik; Lindström, Erik 4 2015 all cited Publications top 5 cited Publications all top 5 Cited by 65 Authors 5 Lindström, Erik 5 Nystrup, Peter 4 Madsen, Henrik O. 2 Boyd, Stephen Poythress 2 Mulvey, John M. 1 Aste, Tomaso 1 Băleanu, Dumitru I. 1 Bühlmann, Peter 1 Caporale, Guglielmo Maria 1 Cardoso, Rodrigo T. N. 1 Corsaro, Stefania 1 De Gooijer, Jan G. 1 de Melo, Maisa Kely 1 De Simone, Valentina 1 Degras, David A. 1 Dombrovskij, V. V. 1 Dong, Yao 1 Gil-Alana, Luis Alberiko 1 Hallac, David 1 Henter, Gustav Eje 1 Hollyman, Ross 1 Höök, Lars Josef 1 Hu, Xiaoming 1 Jesus, Tales A. 1 Jiang, He 1 Karaca, Yeliz 1 Kovács, Solt 1 Larsson, Elisabeth 1 Levesley, Jeremy 1 Li, Juxi 1 Li, Xiaoyue 1 Londschien, Malte 1 Lourenço, Inês 1 Marino, Zelda 1 Mattila, Robert 1 Milovanović, Slobodan 1 Oosterlee, Cornelis Willebrordus 1 Pashinskaya, T. Yu. 1 Persson, Jonas 1 Petropoulos, Fotios 1 Pinson, Pierre 1 Plastun, Alex 1 Procacci, Pier Francesco 1 Rojas, Cristian R. 1 Ruijter, Maria J. 1 Shcherbakov, Victor 1 Shpolyanskiy, Yuri 1 Sirén, Samuel 1 Sun, Yifan 1 Tao, Changqi 1 Tipping, Michael E. 1 Toivanen, Jari 1 Toropov, Alexander 1 Uysal, A. Sinem 1 von Sydow, Lina 1 Wahlberg, Bo 1 Waldén, Johan 1 Wang, Mengdi 1 Weng, Yang 1 Wiktorsson, Magnus 1 Xie, Guangrui 1 Xiong, Ren 1 Ye, Jing 1 Yuan, Ao 1 Zhao, Yangzhang all top 5 Cited in 13 Serials 5 European Journal of Operational Research 4 Quantitative Finance 2 Annals of Operations Research 2 Advances in Data Analysis and Classification. ADAC 1 SIAM Journal on Control and Optimization 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Journal of Statistical Computation and Simulation 1 Computational Statistics and Data Analysis 1 Fractals 1 Journal of Systems Science and Complexity 1 Journal of Computational and Graphical Statistics 1 East Asian Journal on Applied Mathematics all top 5 Cited in 9 Fields 12 Statistics (62-XX) 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Numerical analysis (65-XX) 1 Measure and integration (28-XX) 1 Probability theory and stochastic processes (60-XX) 1 Computer science (68-XX) Citations by Year