Matrix exponential stochastic volatility with cross leverage.

Tsunehiro Ishihara Yasuhiro Omori Manabu Asai

Published in: Comput. Stat. Data Anal. (2016)

Keyphrases

hopfield neural network
singular value decomposition
stock market
linear algebra
stock index futures
neural network
monte carlo
learning automata
long term
convex optimization
stock price
stochastic optimization
positive definite
linear complexity
exponential size