Rapid detection of the switching point in a financial market structure using the particle filter

DOI10.1080/00949655.2013.781603zbMath1453.62710OpenAlexW1987784686WikidataQ111620767 ScholiaQ111620767MaRDI QIDQ5219476

Yoshihiro Yura, Misako Takayasu, Kazuyuki Nakamura, Hideki Takayasu

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.781603

zbMATH Keywords

particle filterforeign exchange marketPUCK model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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