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Using self-organizing maps to adjust for intra-day seasonality

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  • BEN OMRANE, Walid
  • DE BODT, Eric

Abstract

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Suggested Citation

  • BEN OMRANE, Walid & DE BODT, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," LIDAM Reprints CORE 1959, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1959
    DOI: 10.1016/j.jbankfin.2006.09.007
    Note: In : Journal of Banking & Finance, 31, 1817-1838, 2007
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    Cited by:

    1. Ben Omrane, Walid & Tao, Yusi & Welch, Robert, 2017. "Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 9-30.
    2. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.

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