Online estimation for a predictive analytics platform with a financial-stability-analysis application

DOI10.1016/J.EJCON.2020.05.008MaRDI QIDQ2220080zbMATH OpenOpenAlexFDO

Authors Xing Gu, Rogemar Mamon, Thibaut Duprey, Heng Xiong

Publication date 21 January 2021

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejcon.2020.05.008

zbMATH Keywords

financial stress indexhidden Markov modelindustrial production indexoptimal parameter estimationregime-switching model

Mathematics Subject Classification ID

Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Recommendations

• An automated financial indices-processing scheme for classifying market liquidity regimes
• Dynamic prediction of financial distress based on Kalman filtering
• A new financial stress index model based on support vector regression and control chart
• Parameter Estimation in Credit Models Under Incomplete Information
• Early warning signals of financial stress: a ``wavelet-based composite indicators approach

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Adaptive signal processing of asset price dynamics with predictability analysis
• An examination of HMM-based investment strategies for asset allocation
• An interest rate model with a Markovian mean reverting level
• Automatic Block-Length Selection for the Dependent Bootstrap
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 1865747 (Why is no real title available?)
• scientific article; zbMATH DE number 774870 (Why is no real title available?)
• Kurtosis as Peakedness, 1905–2014.R.I.P.
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• On the convergence properties of the EM algorithm
• Putting a price tag on temperature
• Real-time pricing for LQG power networks with independent types: a dynamic mechanism design approach

Cited in

(3)

• Evaluating investors' recognition abilities for risk and profit in online loan markets using nonlinear models and financial big data
• An automated financial indices-processing scheme for classifying market liquidity regimes
• Modelling and filtering for dynamic investment in the precious-metals market

This page was built for publication: Online estimation for a predictive analytics platform with a financial-stability-analysis application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2220080)