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Stochastic Filtering Methods in Electronic Trading (Q4626524)

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scientific article; zbMATH DE number 7030718

Language	Label	Description	Also known as
English	Stochastic Filtering Methods in Electronic Trading	scientific article; zbMATH DE number 7030718

Statements

scholarly article

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Stochastic Filtering Methods in Electronic Trading (English)

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Daniel C. Jones

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Novel Methods in Computational Finance

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publication date

28 February 2019

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zbMATH Keywords

electronic trading

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stochastic filtering

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Kálmám filter

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-319-61282-9_28

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Matrix Riccati equations in control and systems theory

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Cubature Kalman Filters

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Fundamentals of stochastic filtering

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Bayesian estimation and the Kalman filter

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Model specification tests. A simultaneous approach

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Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods

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Time series: theory and methods

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Handbook of Markov Chain Monte Carlo

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Transformations of Wiener integrals under translations

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Inference in hidden Markov models.

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Kalman Filtering

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Nested particle filters for online parameter estimation in discrete-time state-space Markov models

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Particle-kernel estimation of the filter density in state-space models

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Simulation and Monte Carlo

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Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran

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The ARMA model in state space form

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A Kalman Filter Primer

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Struktur der Materie

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Finite mixture and Markov switching models.

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Stochastic differential equations for the non linear filtering problem

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Sampling-Based Approaches to Calculating Marginal Densities

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Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

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Adaptive Rejection Sampling for Gibbs Sampling

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Practical Optimization

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On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

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Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

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Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†

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Multivariate Stochastic Variance Models

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Monte Carlo sampling methods using Markov chains and their applications

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Bayesian Estimation of DSGE Models

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Gaussian filters for nonlinear filtering problems

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Stochastic processes and filtering theory

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Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

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Stochastic Differential Equations Occurring in the Estimation of Continuous Parameter Stochastic Processes

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Mathematical Description of Linear Dynamical Systems

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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State-space models. Applications in economics and finance

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Nonlinear filtering of Markov diffusion processes

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Sequential Monte Carlo Methods for Dynamic Systems

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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Particle filters for continuous likelihood evaluation and maximisation

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Stochastic models, estimation, and control. Vol. 1

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Stochastic models, estimation, and control. Vol. 2,3

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A solution of the smoothing problem for linear dynamic systems

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Equation of State Calculations by Fast Computing Machines

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BUGS for a Bayesian analysis of stochastic volatility models

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Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later

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High-Dimensional Filtering Using Nested Sequential Monte Carlo

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Bayesian Modeling Using WinBUGS

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Stochastic differential equations. An introduction with applications.

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Stochastic volatility with leverage: fast and efficient likelihood inference

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Filtering via Simulation: Auxiliary Particle Filters

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Simulated likelihood inference for stochastic volatility models using continuous particle filtering

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A benchmark approach to quantitative finance

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Quasi-maximum likelihood estimation of stochastic volatility models

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Stochastic calculus for finance. II: Continuous-time models.

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The Calculation of Posterior Distributions by Data Augmentation

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Bayesian forecasting and dynamic models.

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A Numerical-Integration Perspective on Gaussian Filters

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Recursive estimation and time-series analysis. An introduction

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On leverage in a stochastic volatility model

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On the optimal filtering of diffusion processes

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Modeling Financial Time Series with S-PLUS®

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Identifiers

zbMATH Open document ID

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10.1007/978-3-319-61282-9_28

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4626524

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