Filtering a discrete time price process

R.J. Elliott; W.C. Hunter

doi:10.1109/ACSSC.1995.540910

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Conference proceeding

Filtering a discrete time price process

R.J. Elliott and W.C. Hunter

Conference Record of The Twenty-Ninth Asilomar Conference on Signals, Systems and Computers, Vol.2, pp.1305-1309 vol.2

1995

DOI: 10.1109/ACSSC.1995.540910

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Abstract

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.

Filtering

Finance

Hidden Markov models

Lubricating oils

Mathematical model

Parameter estimation

Petroleum

Signal processing

State-space methods

Stock markets

Details

Title: Subtitle: Filtering a discrete time price process
Creators: R.J. Elliott - University of Alberta
W.C. Hunter - Federal Reserve Bank of Chicago
Resource Type: Conference proceeding
Publication Details: Conference Record of The Twenty-Ninth Asilomar Conference on Signals, Systems and Computers, Vol.2, pp.1305-1309 vol.2
DOI: 10.1109/ACSSC.1995.540910
ISSN: 1058-6393
Publisher: IEEE
Language: English
Date published: 1995
Academic Unit: Finance
Record Identifier: 9984962886102771

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