Forecasting Financial Risks By Modified Grid-Based Decomposition Algorithm For Normal Variance-Mean Mixtures.
Alexander Yu. KorchaginVictor KorolevPublished in: ECMS (2015)
Keyphrases
- decomposition algorithm
- risk management
- risk analysis
- working set
- decomposition method
- decision making
- financial institutions
- short term
- foreign exchange
- equality constraints
- working set selection
- risk assessment
- investment decisions
- financial forecasting
- exchange rate
- stock market
- financial data
- blind source separation
- independent component analysis
- mixture model
- expectation maximization