QQ客服 官方微博 反馈留言

	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.

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。