Modeling and Generating Daily Changes in Market Variables.
主 题: Modeling and Generating Daily Changes in Market Variables.
报告人: Jin Wang ((Valdosta State University))
时 间: 0000-00-00
地 点: 理科楼1364
The mixture of normal distributions provides a useful extension of the normal distribution for modeling of daily changes in market variables with fatter-than-normal tails and skewness. An efficient analytical Monte Carlo method is proposed for generating daily changes using a multivariate mixture of normal distributions with
arbitrary covariance matrix. The main purpose of this method is to transform (linearly) a multivariate normal with an input covariance matrix into the desired multivariate mixture of normal distributions. This input covariance matrix can be derived analytically.
Any linear combination of mixtures of normal distributions can be shownto be a mixture of normal distributions. Some methods of fitting mixtures of normal distributions are briefly discussed.