Peter Nystrup

According to our database, Peter Nystrup authored at least 7 papers between 2017 and 2021.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2021

Feature selection in jump models.

Peter Nystrup, Petter N. Kolm, Erik Lindström

Expert Syst. Appl., 2021

2020

Learning hidden Markov models with persistent states by penalizing jumps.

Peter Nystrup, Erik Lindström, Henrik Madsen

Expert Syst. Appl., 2020

Temporal hierarchies with autocorrelation for load forecasting.

Peter Nystrup, Erik Lindström, Pierre Pinson, Henrik Madsen

Eur. J. Oper. Res., 2020

2019

Multi-period portfolio selection with drawdown control.

Peter Nystrup, Stephen P. Boyd, Erik Lindström, Henrik Madsen

Ann. Oper. Res., 2019

Greedy Gaussian segmentation of multivariate time series.

David Hallac, Peter Nystrup, Stephen P. Boyd

Adv. Data Anal. Classif., 2019

2018

Dynamic Asset Allocation - Identifying Regime Shifts in Financial Time Series to Build Robust Portfolios.

Peter Nystrup

PhD thesis, 2018

2017

Multi-Period Trading via Convex Optimization.

Stephen P. Boyd, Enzo Busseti, Steven Diamond, Ronald N. Kahn, Kwangmoo Koh, Peter Nystrup, Jan Speth

Found. Trends Optim., 2017