Adaptive signal processing of asset price dynamics with predictability analysis

DOI10.1016/j.ins.2007.05.021zbMath1130.91331OpenAlexW2077137349MaRDI QIDQ2465971

R. Bhushan Gopaluni, Christina Erlwein, Rogemar S. Mamon

Publication date: 11 January 2008

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2007.05.021

zbMATH Keywords

hidden Markov modelregime-switching modelgold priceoptimal parameter estimation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Markov processes (60J99)

Related Items (10)

Modelling and filtering for dynamic investment in the precious-metals market ⋮ Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility ⋮ Parameter Estimation in a Regime-Switching Model with Non-normal Noise ⋮ HMM based scenario generation for an investment optimisation problem ⋮ Online estimation for a predictive analytics platform with a financial-stability-analysis application ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ An examination of HMM-based investment strategies for asset allocation ⋮ An automated financial indices-processing scheme for classifying market liquidity regimes

Uses Software

• Matlab
• GARCH Toolbox

Cites Work

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• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• A Regime-Switching Model of Long-Term Stock Returns

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