Generalized extreme value distribution for fitting opening/closing asset prices and returns in stock-exchange.

Catherine Combes Alain Dussauchoy

Published in: Oper. Res. (2006)

Keyphrases

extreme values
stock exchange
dow jones
transaction costs
stock price
stock market
financial markets
financial data
stock trading
market data
trading rules
portfolio optimization
black scholes
long run
financial time series
lead time
market prices
feature selection
news articles
investment strategies