Local Gaussian correlations in financial and commodity markets.
Quynh Nga NguyenSofiane AbouraJulien ChevallierLyuyuan ZhangBangzhu ZhuPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- financial markets
- trading strategies
- electronic commerce
- sharpe ratio
- stock market
- decision making
- gaussian filter
- gaussian noise
- spatial correlation
- trading systems
- maximum likelihood
- portfolio optimization
- stock price
- risk management
- gaussian mixture model
- electronic markets
- fraud detection
- financial data
- double auction
- network effects
- financial crisis
- poisson distribution
- linear computational complexity