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Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions.
Yanhui Xi
Hui Peng
Published in:
Int. J. Syst. Sci. (2018)
Keyphrases
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heavy tailed
financial time series
stock market
normal distribution
probabilistic model
financial data
historical data
bayesian framework
statistical models
machine learning methods
mixture model
random fields
stock price
em algorithm
gaussian model
prior distribution
dimensionality reduction
multiscale