Style analysis with particle filtering and generalized simulated annealing
Year of publication: |
June-September 2017
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Authors: | Fukui, Takaya ; Sato, Seisho ; Takahashi, Akihiko |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-29
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Subject: | Style analysis | particle filtering | Monte Carlo filter | generalized simulated annealing | mutual fund | state space model | Theorie | Theory | Zustandsraummodell | State space model | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | Investmentfonds | Investment Fund | Portfolio-Management | Portfolio selection |
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