EconPapers    
Economics at your fingertips  
 

Constrained Mixture Models for Asset Returns Modelling

Iead Rezek

Papers from arXiv.org

Abstract: The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate description of price trends as being clearly positive, negative or ranging while accounting for heavy tails and high kurtosis. The model is estimated in the Expectation Maximisation framework and model order estimation also respects the model's constraints.

New Economics Papers: this item is included in nep-fmk and nep-mst
Date: 2011-03
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1103.2670 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.2670

Access Statistics for this paper

More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().

 
Page updated 2017-09-29
Handle: RePEc:arx:papers:1103.2670