Discovering stock dynamics through multidimensional volatility phases

DOI10.1080/14697681003743040zbMath1241.91141MaRDI QIDQ2893204

Chii-Ruey Hwang, Hsieh Fushing, Shu-Chun Chen

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003743040

zbMATH Keywords

pattern recognition; stochastic models; market dynamics; dynamic models; computational finance; financial times series; investor behaviour

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

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