Sökning: "Exponentially Weighted Expectation Maximization Algorithm"

Hittade 1 uppsats innehållade orden Exponentially Weighted Expectation Maximization Algorithm.

  1. 1. Algorithmic Trading : Hidden Markov Models on Foreign Exchange Data

    Uppsats för yrkesexamina på grundnivå, Matematiska institutionen

    Författare :Patrik Idvall; Conny Jonsson; [2008]
    Nyckelord :Algorithmic Trading; Exponentially Weighted Expectation Maximization Algorithm; Foreign Exchange; Gaussian Mixture Models; Hidden Markov Models;

    Sammanfattning : In this master's thesis, hidden Markov models (HMM) are evaluated as a tool for forecasting movements in a currency cross. With an ever increasing electronic market, making way for more automated trading, or so called algorithmic trading, there is constantly a need for new trading strategies trying to find alpha, the excess return, in the market. LÄS MER