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Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model.

Hui PengYoshiyasu TamuraW. GuiTohru Ozaki
Published in: Int. J. Syst. Sci. (2005)
Keyphrases
  • probability distribution
  • probabilistic model
  • decision making
  • objective function
  • dynamic programming
  • management system
  • information extraction
  • influence diagrams
  • decision theoretic
  • agent based models