Gaussian Mixture and Kernel Density-Based Hybrid Model for Volatility Behavior Extraction From Public Financial Data

Tigani, Smail; Chaibi, Hasna; Saadane, Rachid

[journal article]

dc.contributor.author	Tigani, Smail	de
dc.contributor.author	Chaibi, Hasna	de
dc.contributor.author	Saadane, Rachid	de
dc.date.accessioned	2022-01-05T14:08:31Z
dc.date.available	2022-01-05T14:08:31Z
dc.date.issued	2019	de
dc.identifier.issn	2306-5729	de
dc.identifier.uri	https://www.ssoar.info/ssoar/handle/document/76675
dc.description.abstract	This paper carried out a hybrid clustering model for foreign exchange market volatility clustering. The proposed model is built using a Gaussian Mixture Model and the inference is done using an Expectation Maximization algorithm. A mono-dimensional kernel density estimator is used in order to build a probability density based on all historical observations. That allows us to evaluate the behavior’s probability of each symbol of interest. The computation result shows that the approach is able to pinpoint risky and safe hours to trade a given currency pair.	de
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.subject.other	foreign exchange market; gaussian mixture model; kernel density estimation; algorithmic trading	de
dc.title	Gaussian Mixture and Kernel Density-Based Hybrid Model for Volatility Behavior Extraction From Public Financial Data	de
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Data
dc.source.volume	4	de
dc.publisher.country	CHE	de
dc.source.issue	1	de
dc.subject.classoz	Volkswirtschaftstheorie	de
dc.subject.classoz	National Economy	en
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.subject.thesoz	Finanzmarkt	de
dc.subject.thesoz	financial market	en
dc.subject.thesoz	Devisen	de
dc.subject.thesoz	foreign exchange	en
dc.subject.thesoz	statistische Methode	de
dc.subject.thesoz	statistical method	en
dc.subject.thesoz	Algorithmus	de
dc.subject.thesoz	algorithm	en
dc.subject.thesoz	künstliche Intelligenz	de
dc.subject.thesoz	artificial intelligence	en
dc.identifier.urn	urn:nbn:de:0168-ssoar-76675-6
dc.rights.licence	Creative Commons - Namensnennung 4.0	de
dc.rights.licence	Creative Commons - Attribution 4.0	en
ssoar.contributor.institution	FDB	de
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10034971
internal.identifier.thesoz	10040942
internal.identifier.thesoz	10052184
internal.identifier.thesoz	10035039
internal.identifier.thesoz	10043031
dc.type.stock	article	de
dc.type.document	Zeitschriftenartikel	de
dc.type.document	journal article	en
internal.identifier.classoz	1090301
internal.identifier.classoz	10105
internal.identifier.journal	2134
internal.identifier.document	32
internal.identifier.ddc	330
internal.identifier.ddc	300
dc.source.issuetopic	Data Analysis for Financial Markets	de
dc.identifier.doi	https://doi.org/10.3390/data4010019	de
dc.description.pubstatus	Veröffentlichungsversion	de
dc.description.pubstatus	Published Version	en
internal.identifier.licence	16
internal.identifier.pubstatus	1
internal.identifier.review	1
dc.subject.classhort	10100	de
dc.subject.classhort	10900	de
internal.pdf.wellformed	true
internal.pdf.encrypted	false

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Volkswirtschaftstheorie
Economic Theory

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