An Application of the EM-algorithm to Approximate Empirical Distributions of Financial Indices with the Gaussian Mixtures

نویسنده

Sergey Tarasenko

چکیده

In this study I briefly illustrate application of the Gaussian mixtures to approximate empirical distributions of financial indices (DAX, Dow Jones, Nikkei, RTSI, S&P 500). The resulting distributions illustrate very high quality of approximation as evaluated by Kolmogorov-Smirnov test. This implies further study of application of the Gaussian mixtures to approximate empirical distributions of financial indices. Keywords—financial indices, Gaussian distribution, mixtures of Gaussian distributions, Gaussian mixtures, EM-algorithm

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