Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series.
Ganna MarchenkoPatrick GagliardiniIllia HorenkoPublished in: SIAM J. Financial Math. (2018)
Keyphrases
- computationally tractable
- non stationary
- financial time series
- maximum entropy principle
- maximum entropy
- generative model
- financial time series forecasting
- turning points
- np hard
- stock price
- random fields
- autoregressive
- image segmentation
- learning algorithm
- stock market
- topic models
- probabilistic model
- computational complexity
- bayesian networks