Stochastic filtering methods in electronic trading
From MaRDI portal
(Redirected from Publication:4626524)
Recommendations
Cites work
- A benchmark approach to quantitative finance
- A Kalman Filter Primer
- A Numerical-Integration Perspective on Gaussian Filters
- A solution of the smoothing problem for linear dynamic systems
- Adaptive Rejection Sampling for Gibbs Sampling
- An introduction to modern Bayesian econometrics.
- Bayesian estimation and the Kalman filter
- Bayesian estimation of DSGE models
- Bayesian filtering and smoothing
- Bayesian forecasting and dynamic models.
- Bayesian Modeling Using WinBUGS
- BUGS for a Bayesian analysis of stochastic volatility models
- Cubature Kalman Filters
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
- Equation of state calculations by fast computing machines
- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
- Filtering via Simulation: Auxiliary Particle Filters
- Finite mixture and Markov switching models.
- Fundamentals of stochastic filtering
- Gaussian filters for nonlinear filtering problems
- Handbook of Markov Chain Monte Carlo
- High-Dimensional Filtering Using Nested Sequential Monte Carlo
- scientific article; zbMATH DE number 1666084 (Why is no real title available?)
- scientific article; zbMATH DE number 1666091 (Why is no real title available?)
- scientific article; zbMATH DE number 5954252 (Why is no real title available?)
- scientific article; zbMATH DE number 3123490 (Why is no real title available?)
- scientific article; zbMATH DE number 5280140 (Why is no real title available?)
- scientific article; zbMATH DE number 4089457 (Why is no real title available?)
- scientific article; zbMATH DE number 3662436 (Why is no real title available?)
- scientific article; zbMATH DE number 3709465 (Why is no real title available?)
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 600278 (Why is no real title available?)
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- scientific article; zbMATH DE number 3420544 (Why is no real title available?)
- scientific article; zbMATH DE number 3038819 (Why is no real title available?)
- scientific article; zbMATH DE number 3054885 (Why is no real title available?)
- scientific article; zbMATH DE number 3088537 (Why is no real title available?)
- Inference in hidden Markov models.
- Kalman filtering. With real-time applications
- Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran
- Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
- Mathematical Description of Linear Dynamical Systems
- Matrix Riccati equations in control and systems theory
- Model specification tests. A simultaneous approach
- Modeling Financial Time Series with S-PLUS®
- Monte Carlo sampling methods using Markov chains and their applications
- Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
- Multivariate Stochastic Variance Models
- Nested particle filters for online parameter estimation in discrete-time state-space Markov models
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Nonlinear filtering of Markov diffusion processes
- On leverage in a stochastic volatility model
- On the optimal filtering of diffusion processes
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- Particle filters for continuous likelihood evaluation and maximisation
- Particle-kernel estimation of the filter density in state-space models
- Practical Optimization
- Quasi-maximum likelihood estimation of stochastic volatility models
- Recursive estimation and time-series analysis. An introduction
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Sampling-Based Approaches to Calculating Marginal Densities
- Sequential Monte Carlo Methods for Dynamic Systems
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- Simulation and Monte Carlo
- State-space models. Applications in economics and finance
- Stochastic calculus for finance. II: Continuous-time models.
- Stochastic differential equations for the non linear filtering problem
- Stochastic Differential Equations Occurring in the Estimation of Continuous Parameter Stochastic Processes
- Stochastic differential equations. An introduction with applications.
- Stochastic filtering with application in finance
- Stochastic models, estimation, and control. Vol. 1
- Stochastic models, estimation, and control. Vol. 2,3
- Stochastic processes and filtering theory
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The ARMA model in state space form
- The Calculation of Posterior Distributions by Data Augmentation
- The Feynman lectures on physics 4. The structure of matter. Translated from the English by Henner Wessel and Karen Lippert
- Time series analysis by state space methods
- Time series analysis by state space methods.
- Time series: theory and methods
- Transformations of Wiener integrals under translations
Cited in
(2)
This page was built for publication: Stochastic filtering methods in electronic trading
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4626524)