Unsupervised learning of Markov-switching stochastic volatility with an application to market data.
Ivan GoryninEmmanuel MonfriniWojciech PieczynskiPublished in: MLSP (2016)
Keyphrases
- market data
- unsupervised learning
- financial markets
- stock price
- stock market
- supervised learning
- market conditions
- semi supervised
- machine learning
- dimensionality reduction
- markov chain
- expectation maximization
- feature selection
- electronic markets
- stochastic process
- incomplete information
- stochastic processes
- model selection
- long term
- object recognition
- reinforcement learning