Bayesian Calibration of Hyperparameters in Agent-Based Stock Market.
Minh TranMan NgoDuc Pham-HiMarc BuiPublished in: RIVF (2020)
Keyphrases
- stock market
- hyperparameters
- posterior distribution
- bayesian inference
- model selection
- bayesian methods
- maximum likelihood
- gaussian processes
- cross validation
- closed form
- bayesian framework
- marginal likelihood
- support vector
- gaussian process
- em algorithm
- prior information
- random sampling
- noise level
- incremental learning
- short term
- stock exchange
- trading rules
- maximum a posteriori
- stock price
- missing values
- sample size
- probabilistic model
- stock index futures
- incomplete data
- parameter estimation
- ls svm
- financial data
- bayesian networks
- stock trading
- parameter settings
- parameter space
- expectation maximization
- probability distribution
- listed companies
- prior knowledge
- neural network
- financial markets