Title :
Filtering a discrete time price process
Author :
Elliott, Robert J. ; Hunter, William C.
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
fDate :
Oct. 30 1995-Nov. 1 1995
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.
Keywords :
discrete time systems; continuous time process; discrete time; discrete time price process; drift; filtering techniques; hidden Markov model; log-normal model; logarithmic difference; parameter estimation; price processes; sum; volatility; Filtering; Finance; Hidden Markov models; Lubricating oils; Mathematical model; Parameter estimation; Petroleum; Signal processing; State-space methods; Stock markets;
Conference_Titel :
Signals, Systems and Computers, 1995. 1995 Conference Record of the Twenty-Ninth Asilomar Conference on
Conference_Location :
Pacific Grove, CA, USA
Print_ISBN :
0-8186-7370-2
DOI :
10.1109/ACSSC.1995.540910
