Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund

DOI10.1080/1469780500244320zbMath1134.91550OpenAlexW2118106078MaRDI QIDQ3375388

Christian Dunis, Paulo J. G. Lisboa, Andreas Lindemann

Publication date: 8 March 2006

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

Full work available at URL: https://doi.org/10.1080/1469780500244320

Mathematics Subject Classification ID

Economic time series analysis (91B84) Learning and adaptive systems in artificial intelligence (68T05) Trade models (91B60) Statistical methods; economic indices and measures (91B82)

Cites Work

• A hitchhiker's guide to the techniques of adaptive nonlinear models

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