Probability distributions, trading strategies and leverage: An application of Gaussian mixture models

Journal of Forecasting

Volumn 23, Issue 8, 2004, Pages 559-585

  Lindemann, Andreas ^a   Dunis, Christian L ^a   Lisboa, Paulo ^a  

^a LIVERPOOL JOHN MOORES UNIVERSITY   (United Kingdom)

Author keywords

Arma models; Confirmation filters; Gaussian mixture models; Leverage; Logistic regression; Macd technical models; Neural networks; Probability distribution; Trading strategy

Indexed keywords

ALGORITHMS; BENCHMARKING; FORECASTING; MATHEMATICAL MODELS; NEURAL NETWORKS; PARAMETER ESTIMATION; PROBABILITY DENSITY FUNCTION; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

ARMA MODELS; CONFIRMATION FILTERS; GAUSSIAN MIXTURE MODELS; LEVERAGE; LOGISTIC REGRESSION; MACD TECHNICAL MODELS; TRADING STRATEGY;

PROBABILITY DISTRIBUTIONS;

EID: 11144312635     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.935     Document Type: Review

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