Sipos IR, Levendovszky J. Optimizing Sparse Mean Reverting Portfolios with AR-HMMs in the Presence of Secondary Effects. Period. Polytech. Elec. Eng. Comp. Sci. [Internet]. 2015 Jan. 1 [cited 2024 Dec. 22];59(1):1-8. Available from: https://pp.bme.hu/eecs/article/view/7352