Gaussian mixture modelling to detect random walks in capital markets | |
Zhang, MH ; Cheng, QS | |
2003 | |
关键词 | Gaussian mixture modelling the random walks hypothesis asset return distributions EM algorithm The Kolmogorov-Smirnov test STOCK RETURNS NUMBER PRICES |
英文摘要 | In this paper, Gaussian mixture modelling is used to detect random walks in capital markets with the Kolmogorov-Smirnov test. The main idea is to use Gaussian mixture modelling to fit asset return distributions and then use the Kolmogorov-Smirnov test to determine the number of components. Several quantities are used to characterize Gaussian mixture models and ascertain whether random walks exist in capital markets. Empirical studies on China securities markets and Forex markets are used to demonstrate the proposed procedure. (C) 2003 Elsevier Ltd. All rights reserved.; Computer Science, Interdisciplinary Applications; Computer Science, Software Engineering; Mathematics, Applied; SCI(E); SSCI; 4; ARTICLE; 5-6; 503-508; 38 |
语种 | 英语 |
出处 | SCI |
出版者 | mathematical and computer modelling |
内容类型 | 其他 |
源URL | [http://hdl.handle.net/20.500.11897/257969] ![]() |
专题 | 数学科学学院 |
推荐引用方式 GB/T 7714 | Zhang, MH,Cheng, QS. Gaussian mixture modelling to detect random walks in capital markets. 2003-01-01. |
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