De Blasis, Riccardo - In: Financial innovation : FIN 9 (2023) 1, pp. 1-16
derived by the application of two popular machine learning algorithms, namely the k-means and Gaussian mixture model (GMM …). Moreover, by comparing the Bayesian information criterion (BIC) scores, the GMM approach allows for the selection of the number … usefulness of the proposed discretization approaches. In particular, GMM discretization is well suited for high-frequency returns …