Essays about: "expectation maximisation"

Found 3 essays containing the words expectation maximisation.

  1. 1. Tick data clustering analysis establishing support and resistance levels of the EUR-USD exchange market

    University essay from Lunds universitet/Matematisk statistik

    Author : Karl Tengelin; [2020]
    Keywords : Tick data; Support-and resistance levels; Clustering methods; Gaussian mixture model; Kmeans; EUR-USD exchange rates; Clustering performance metrics; Market activity; Mathematics and Statistics;

    Abstract : Our aim is to use clustering algorithms in order to compute support and resistance levels within an intra-day trading setting. To achieve this we use a tick data set from the EUR-USD exchange market during 2019 as a measure of market activity. READ MORE

  3. 2. Towards disease progression sub-typing via responsibility sampling for robust expectation-maximisation learning

    University essay from KTH/Optimeringslära och systemteori

    Author : Mathias Edman; [2019]
    Keywords : ;

    Abstract : Most diseases have different heterogeneous effects on patients. Broadly, one may conclude what manifested symptoms correspond to which diagnosis, but usually there is more than one disease progression pattern. READ MORE

  4. 3. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Adnan Berberovic; Alexander Eriksson; [2017]
    Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE