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Modeling the return rates of stock via EM algorithm Chou, Steve Che-Ming
Abstract
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.
Item Metadata
| Title |
Modeling the return rates of stock via EM algorithm
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| Creator | |
| Publisher |
University of British Columbia
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| Date Issued |
2005
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| Description |
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.
|
| Genre | |
| Type | |
| Language |
eng
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| Date Available |
2009-12-11
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| Provider |
Vancouver : University of British Columbia Library
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| Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
|
| DOI |
10.14288/1.0079632
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| URI | |
| Degree | |
| Program | |
| Affiliation | |
| Degree Grantor |
University of British Columbia
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| Graduation Date |
2005-11
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| Campus | |
| Scholarly Level |
Graduate
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| Aggregated Source Repository |
DSpace
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Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.