Peter Nystrup
Peter Nystrup
Postdoctoral fellow, Lund University and Technical University of Denmark
Verified email at matstat.lu.se
Title
Cited by
Cited by
Year
Multi-period trading via convex optimization
S Boyd, E Busseti, S Diamond, RN Kahn, K Koh, P Nystrup, J Speth
Foundations and Trends® in Optimization 3 (1), 1-76, 2017
562017
Greedy Gaussian segmentation of multivariate time series
D Hallac, P Nystrup, S Boyd
Advances in Data Analysis and Classification 13 (3), 727-751, 2019
302019
Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters
P Nystrup, H Madsen, E Lindström
Journal of Forecasting 36 (8), 989-1002, 2017
282017
Regime-based versus static asset allocation: Letting the data speak
P Nystrup, BW Hansen, H Madsen, E Lindström
The Journal of Portfolio Management 42 (1), 103-109, 2015
262015
Dynamic portfolio optimization across hidden market regimes
P Nystrup, H Madsen, E Lindström
Quantitative Finance 18 (1), 83-95, 2018
242018
Stylised facts of financial time series and hidden Markov models in continuous time
P Nystrup, H Madsen, E Lindström
Quantitative Finance 15 (9), 1531-1541, 2015
212015
Multi-period portfolio selection with drawdown control
P Nystrup, S Boyd, E Lindström, H Madsen
Annals of Operations Research 282 (1-2), 245-271, 2019
172019
Dynamic allocation or diversification: A regime-based approach to multiple assets
P Nystrup, BW Hansen, HO Larsen, H Madsen, E Lindström
The Journal of Portfolio Management 44 (2), 62-73, 2017
112017
Temporal hierarchies with autocorrelation for load forecasting
P Nystrup, E Lindström, P Pinson, H Madsen
European Journal of Operational Research 280 (3), 876-888, 2020
82020
Regime-Based Asset Allocation: Do Profitable Strategies Exist?
P Nystrup
Master's thesis, Technical University of Denmark, 2014
8*2014
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
P Nystrup, BW Hansen, H Madsen, E Lindström
Journal of Asset Management 17 (5), 361-374, 2016
72016
Learning hidden Markov models with persistent states by penalizing jumps
P Nystrup, E Lindström, H Madsen
Expert Systems with Applications 150, 113307, 2020
42020
Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
P Nystrup, PN Kolm, E Lindstrom
The Journal of Financial Data Science 2 (3), 25-39, 2020
12020
Scenario generation for financial market indices
P Nystrup
Bachelor's thesis, Technical University of Denmark, 2012
12012
Hyperparameter Optimization for Portfolio Selection
P Nystrup, E Lindström, H Madsen
The Journal of Financial Data Science 2 (3), 40-54, 2020
2020
Dynamisk aktivallokering: Bør allokeringen ændres, når markederne dykker?
P Nystrup, BW Hansen, HO Larsen
Finans/Invest, 28-35, 2018
2018
Practical Applications of Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets
P Nystrup, BW Hansen, HO Larsen, H Madsen, E Lindström
Practical Applications 5 (4), 2018
2018
Dynamic Asset Allocation: Identifying Regime Shifts in Financial Time Series to Build Robust Portfolios
P Nystrup
Ph.D. thesis, Technical University of Denmark, 2017
2017
Practical Applications of Regime-Based versus Static Asset Allocation: Letting the Data Speak
P Nystrup, BW Hansen, H Madsen, E Lindström
Practical Applications 3 (4), 1-4, 2016
2016
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Articles 1–19