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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Principais autores:	Smail Tigani, Hasna Chaibi, Rachid Saadane
格式:	Artigo
語言:	Inglês
出版:	MDPI AG 2019-01-01
叢編:	Data
主題:	foreign exchange market gaussian mixture model kernel density estimation algorithmic trading
在線閱讀:	https://www.mdpi.com/2306-5729/4/1/19
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