| 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 | 173 | 2017 |
| Greedy Gaussian segmentation of multivariate time series D Hallac, P Nystrup, S Boyd Advances in Data Analysis and Classification 13 (3), 727-751, 2019 | 90 | 2019 |
| 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 | 89 | 2020 |
| Dynamic portfolio optimization across hidden market regimes P Nystrup, H Madsen, E Lindström Quantitative Finance 18 (1), 83-95, 2018 | 73 | 2018 |
| 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 | 72 | 2019 |
| 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 | 71 | 2017 |
| 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 | 54 | 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 | 44 | 2015 |
| Learning hidden Markov models with persistent states by penalizing jumps P Nystrup, E Lindström, H Madsen Expert Systems with Applications 150, 113307, 2020 | 37 | 2020 |
| 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 | 36 | 2017 |
| Recent developments in multivariate wind and solar power forecasting ML Sørensen, P Nystrup, MB Bjerregård, JK Møller, P Bacher, H Madsen Wiley Interdisciplinary Reviews: Energy and Environment 12 (2), e465, 2023 | 33 | 2023 |
| Heat load forecasting using adaptive temporal hierarchies HG Bergsteinsson, JK Møller, P Nystrup, ÓP Pálsson, D Guericke, ... Applied Energy 292, 116872, 2021 | 31 | 2021 |
| Clustering commercial and industrial load patterns for long-term energy planning P Nystrup, H Madsen, EMV Blomgren, G de Zotti Smart Energy 2, 100010, 2021 | 26 | 2021 |
| 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 | 26 | 2020 |
| 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 | 26 | 2016 |
| Dimensionality reduction in forecasting with temporal hierarchies P Nystrup, E Lindström, JK Møller, H Madsen International Journal of Forecasting, 2021 | 24 | 2021 |
| Feature selection in jump models P Nystrup, PN Kolm, E Lindström Expert Systems with Applications 184, 115558, 2021 | 22 | 2021 |
| Hyperparameter Optimization for Portfolio Selection P Nystrup, E Lindström, H Madsen The Journal of Financial Data Science 2 (3), 40-54, 2020 | 14 | 2020 |
| Regime-Based Asset Allocation: Do Profitable Strategies Exist? P Nystrup Master's thesis, Technical University of Denmark, 2014 | 10* | 2014 |
| Likelihood-based inference in temporal hierarchies JK Møller, P Nystrup, H Madsen International Journal of Forecasting 40 (2), 515-531, 2024 | 5 | 2024 |
Henrik MadsenProfessor, PhD, DTU Compute, Technical University of DenmarkVerified email at dtu.dk
