Financial modeling using Gaussian process models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00366040" target="_blank" >RIV/67985556:_____/11:00366040 - isvavai.cz</a>
Alternative codes found
RIV/68407700:21260/11:00213092
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Financial modeling using Gaussian process models
Original language description
In the 1960s E. Fama developed the efficient market hypothesis (EMH) which asserts that the financial market is efficient if its prices are formed on the basis of all publicly available information. That means technical analysis cannot be used to predictand beat the market. Since then, it was widely examined and was mostly accepted by mathematicians and financial engineers. However, the predictability of financial-market returns remains an open problem and is discussed in many publications. Usually, itis concluded that a model able to predict financial returns should adapt to market changes quickly and catch local dependencies in price movements. The Bayesian vector autoregression (BVAR) models, support vector machines (SVM) and some other were already applied to financial data quite succesfully. Gaussian process (GP) models are emerging non-parametric Bayesian models and in this paper we test their applicability to financial data. GP model is fitted to daily data from U.S. commodity
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 6th IEEE International Conference on Intelligent Data Acquisition and Advanced Computing Systems : Technology and Application
ISBN
978-1-4577-1424-5
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
672-677
Publisher name
IEEE
Place of publication
Piscataway
Event location
Prague
Event date
Sep 15, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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