Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift (Q4988558)
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scientific article; zbMATH DE number 7348567
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| English | Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift |
scientific article; zbMATH DE number 7348567 |
Statements
Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift (English)
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17 May 2021
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Bayesian updating
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Black-Litterman model
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expert opinions
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Ornstein-Uhlenbeck process
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partial information
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Kalman filter
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0.8884665966033936
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0.8869699835777283
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0.8763569593429565
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0.8029903769493103
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0.748090386390686
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