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55

ICML
2010
IEEE

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Dynamical Products of Experts for Modeling Financial Time Series

13 years 5 months ago

Dynamical Products of Experts for Modeling Financial Time Series

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Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of experts" that treats the latent process over volatilities as an inverse Gamma process. We show that our multivariate volatility models significantly outperform all related Garch and stochastic volatility models which are in popular use in the quantitative finance community.

Yutian Chen, Max Welling

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ICML 2010 | Machine Learning | Multivariate Volatility Models | Quantitative Finance | Volatility Models |

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Added	09 Nov 2010
Updated	09 Nov 2010
Type	Conference
Year	2010
Where	ICML
Authors	Yutian Chen, Max Welling

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