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

preprint2016arXivOpen access

Abstract

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.

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