UBC Theses and Dissertations
Modeling the return rates of stock via EM algorithm Chou, Steve Che-Ming
We consider a multi-stock market, where daily return process of each stock together with its mean rate of daily return are assumed to follow a continuous diffusion process, which is similar to a state-space system with linear Gaussian dynamics. Our major objective is to estimate the model parameters based on historical data. Our estimation method is an iterative method bases on the expectation maximization (or EM) algorithm.
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