Adaptive Estimation and Filtering in Finance
Atanu Das
Broschiertes Buch

Adaptive Estimation and Filtering in Finance

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Some salient contributions of this work are modification and characterization of Adaptive Kalman Filter (AKF) and application thereof in modelling and estimation of financial time series. The failure cases of AKF's have been identified and characterized. Modifications are then made to avoid the singularity, without affecting the essential performance of AKFs. These modified varieties of AKF techniques were characterized using both synthetic data and empirical data from Indian financial market. Performances of the existing and modified AKF methods are compared with the benchmark approaches and ...