A new robust Kalman filter for filtering the microstructure noise (Q5351738)
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scientific article; zbMATH DE number 6767037
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new robust Kalman filter for filtering the microstructure noise |
scientific article; zbMATH DE number 6767037 |
Statements
A new robust Kalman filter for filtering the microstructure noise (English)
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30 August 2017
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high-frequency trading
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Kalman filter
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Kalman gain
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microstructure noise
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noise-to-signal-ratio
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volatility
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