Gaussian Mixture and Kernel Density-Based Hybrid Model for Volatility Behavior Extraction From Public Financial Data
This paper carried out a hybrid clustering model for foreign exchange market volatility clustering. The proposed model is built using a Gaussian Mixture Model and the inference is done using an Expectation Maximization algorithm. A mono-dimensional kernel density estimator is used in order to build...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
MDPI AG
2019-01-01
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| Reeks: | Data |
| Onderwerpen: | |
| Online toegang: | https://www.mdpi.com/2306-5729/4/1/19 |
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