Erik Lindström

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Henrik MadsenProfessor, PhD, DTU Compute, Technical University of DenmarkVerified email at dtu.dk
Peter NystrupTechnical University of DenmarkVerified email at dtu.dk
Lars Josef HöökUppsala Universitet, KTH, Royal Institute of TechnologyVerified email at kth.se
Magnus WiktorssonLund UniversityVerified email at matstat.lu.se
Elisabeth LarssonProfessor of Scientific Computing, Uppsala UniversityVerified email at it.uu.se
Lina von SydowProfessor of Scientific Computing, Department of Information Technology, Uppsala UniversityVerified email at it.uu.se
Petter KolmNYU Courant Institute of Mathematical SciencesVerified email at nyu.edu
Stephen BoydProfessor of Electrical Engineering, Computer Science, and Management Science, StanfordVerified email at stanford.edu
Johan WALDENProfessor of Finance, UC Berkeley - Finance GroupVerified email at berkeley.edu
Jeremy LevesleyProfessor of Applied Mathematics, University of LeicesterVerified email at le.ac.uk
Slobodan MilovanovićBoston Consulting GroupVerified email at bcg.com
Pierre PinsonProfessor, Imperial College London, Dyson School of Design EngineeringVerified email at imperial.ac.uk
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
Johan LindströmAssociate Professor of Mathematical Statistics, Centre for Mathematical Sciences, Lund UniversityVerified email at matstat.lu.se
Edward IonidesUniversity of Michigan, Department of StatisticsVerified email at umich.edu

Erik Lindström

Lund university

Verified email at maths.lth.se

Financial statistics Stochastic Differential Equations Hidden Markov Models


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Modeling extreme dependence between European electricity markets E Lindström, F Regland Energy economics 34 (4), 899-904, 2012	84	2012
Modelling non-linear and non-stationary time series H Madsen, J Holst, E Lindström IMM, DTU, 2000	78	2000
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	77	2020
BENCHOP–The BENCHmarking project in option pricing L von Sydow, L Josef Höök, E Larsson, E Lindström, S Milovanović, ... International Journal of Computer Mathematics 92 (12), 2361-2379, 2015	77	2015
Dynamic portfolio optimization across hidden market regimes P Nystrup, H Madsen, E Lindström Quantitative Finance 18 (1), 83-95, 2018	68	2018
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	68	2017
Multi-period portfolio selection with drawdown control P Nystrup, S Boyd, E Lindström, H Madsen Annals of Operations Research 282 (1), 245-271, 2019	65	2019
Sequential calibration of options E Lindström, J Ströjby, M Brodén, M Wiktorsson, J Holst Computational Statistics & Data Analysis 52 (6), 2877-2891, 2008	61	2008
Statistics for finance E Lindström, H Madsen, JN Nielsen Chapman and Hall/CRC, 2018	58	2018
Regime-based versus static asset allocation: Letting the data speak P Nystrup, BW Hansen, H Madsen, E Lindström Journal of Portfolio Management 42 (1), 103, 2015	48	2015
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	40	2015
Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets P Nystrup, BW Hansen, HO Larsen, H Madsen, E Lindström Journal of Portfolio Management 44 (2), 62-73, 2018	30	2018
A regularized bridge sampler for sparsely sampled diffusions E Lindström Statistics and Computing 22, 615-623, 2012	29	2012
Learning hidden Markov models with persistent states by penalizing jumps P Nystrup, E Lindström, H Madsen Expert Systems with Applications 150, 113307, 2020	27	2020
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation P Nystrup, B William Hansen, H Madsen, E Lindström Journal of Asset Management 17, 361-374, 2016	24	2016
Estimating parameters in diffusion processes using an approximate maximum likelihood approach E Lindström Annals of Operations Research 151, 269-288, 2007	22	2007
Implications of parameter uncertainty on option prices. E Lindström Advances in Decision Sciences, 2010	21	2010
Greedy online classification of persistent market states using realized intraday volatility features P Nystrup, PN Kolm, E Lindström Journal of Financial Data Science 2 (3), 25-39, 2020	20	2020
Efficient iterated filtering E Lindström, E Ionides, J Frydendall, H Madsen IFAC Proceedings Volumes 45 (16), 1785-1790, 2012	20	2012
Dimensionality reduction in forecasting with temporal hierarchies P Nystrup, E Lindström, JK Møller, H Madsen International Journal of Forecasting 37 (3), 1127-1146, 2021	18	2021

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