Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes*
- Authors: Gorshenin A.K.1,2, Korolev V.Y.1,2, Tursunbaev A.M.1
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Affiliations:
- Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
- Institute of Informatics Problems, Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences
- Issue: Vol 227, No 2 (2017)
- Pages: 176-195
- Section: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/240115
- DOI: https://doi.org/10.1007/s10958-017-3584-0
- ID: 240115
Cite item
Abstract
In this paper we propose the median modifications of the EM-algorithm and demonstrate their advantages in comparison with conventional methods by the example dealing with the numerical solution of the problem of decomposition of the volatility of financial indexes. We provide examples of volatility decompositions for AMEX, CAC 40, NIKKEI, and NASDAQ indexes.
About the authors
A. K. Gorshenin
Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics; Institute of Informatics Problems, Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences
Author for correspondence.
Email: a.k.gorshenin@gmail.com
Russian Federation, Moscow; Moscow
V. Yu. Korolev
Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics; Institute of Informatics Problems, Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences
Email: a.k.gorshenin@gmail.com
Russian Federation, Moscow; Moscow
A. M. Tursunbaev
Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Email: a.k.gorshenin@gmail.com
Russian Federation, Moscow