过滤离散时间价格过程

Conference Record of The Twenty-Ninth Asilomar Conference on Signals, Systems and Computers Pub Date : 1995-10-30 DOI:10.1109/ACSSC.1995.540910

R. Elliott, W. C. Hunter

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引用次数: 1

摘要

在连续时间价格过程的对数正态模型的激励下，我们假设，在离散时间，价格过程的对数差分由漂移和“波动”分量的总和给出。利用隐马尔可夫模型的滤波技术估计这些参数。

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Filtering a discrete time price process

Motivated by the log-normal model for price processes in continuous time, we suppose, in discrete time, the logarithmic difference of the price process is given by the sum of a drift and a 'volatility' component. Filtering techniques from hidden Markov models are applied to estimate these parameters.

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Conference Record of The Twenty-Ninth Asilomar Conference on Signals, Systems and Computers

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