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On-Line Portfolio Selection with Moving Average Reversion
Portfolio Selection Moving Average Reversion
2012/9/14
On-line portfolio selection has attracted in-creasing interests in machine learning and AI communities recently. Empirical evidence show that stock’s high and low prices are temporary and stock price ...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...