Particle filtering-based Maximum Likelihood Estimation for financial parameter estimation

Abstract

This paper presents a novel method for estimating parameters of financial models with jump diffusions. It is a Particle Filter based Maximum Likelihood Estimation process, which uses particle streams to enable efficient evaluation of constraints and weights. We also provide a CPU-FPGA collaborative design for parameter estimation of Stochastic Volatility with Correlated and Contemporaneous Jumps model as a case study. The result is evaluated by comparing with a CPU and a cloud computing platform. We show 14 times speed up for the FPGA design compared with the CPU, and similar speedup but better convergence compared with an alternative parallelisation scheme using Techila Middleware on a multi-CPU environment.