Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes*
- Авторы: Gorshenin A.1,2, Korolev V.1,2, Tursunbaev A.1
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Учреждения:
- 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
- Выпуск: Том 227, № 2 (2017)
- Страницы: 176-195
- Раздел: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/240115
- DOI: https://doi.org/10.1007/s10958-017-3584-0
- ID: 240115
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Аннотация
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.
Об авторах
A. 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
Автор, ответственный за переписку.
Email: a.k.gorshenin@gmail.com
Россия, Moscow; Moscow
V. 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
Россия, Moscow; Moscow
A. Tursunbaev
Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Email: a.k.gorshenin@gmail.com
Россия, Moscow