A nonlinear Bayesian filtering approach to estimating adaptive market effciency

DOI10.1515/rnam-2019-0003zbMath1422.91805OpenAlexW2913298732WikidataQ128440328 ScholiaQ128440328MaRDI QIDQ2414081

Yanyan Li

Publication date: 10 May 2019

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam-2019-0003

zbMATH Keywords

extended Kalman filterstate-space modelsBayesian filteringadaptive market hypothesistest of evolving efficiency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Actuarial science and mathematical finance (91G99)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Examining the first stages of market performance: A test for evolving market efficiency
• Portfolio Analysis in a Stable Paretian Market
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