Peter Nystrup

Peter Nystrup is a quantitative researcher associated with the Technical University of Denmark (DTU) and Lund University, working on regime-switching models, dynamic asset allocation and time-series segmentation. He is the lead author of Nystrup Lindström Madsen 2020, the paper that originated the Statistical Jump Model, and of Nystrup Kolm Lindström 2021, which introduced its sparse feature-selecting variant. He appears in this vault as the principal originator of the jump-model family and a recurring author across the regime-based asset-allocation literature that the Hidden Markov Model Regime Detection note draws on.

Connections

• Statistical Jump Model — proposes_model, source: https://doi.org/10.1016/j.eswa.2020.113307
• Nystrup Lindström Madsen 2020 — proposes_model, source: https://doi.org/10.1016/j.eswa.2020.113307
• Nystrup Kolm Lindström 2021 — proposes_model, source: https://doi.org/10.1016/j.eswa.2021.115558
• Petter Kolm — relates, source: https://doi.org/10.1016/j.eswa.2021.115558