Rapid detection of the switching point in a financial market structure using the particle filter

DOI10.1080/00949655.2013.781603MaRDI QIDQ5219476zbMATH OpenOpenAlexWikidataFDO

Authors Yoshihiro Yura, H. Takayasu, Kazuyuki Nakamura, M. Takayasu

Publication date 12 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2013.781603

zbMATH Keywords

particle filterforeign exchange marketPUCK model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

• Real-time financial surveillance via quickest change-point detection methods
• Particle filters and Bayesian inference in financial econometrics
• Fast Filtering in Switching Approximations of Nonlinear Markov Systems With Applications to Stochastic Volatility
• Change point dynamics for financial data: an indexed Markov chain approach
• scientific article; zbMATH DE number 2133125
• Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction
• Evaluation of recursive detection methods for turning points in financial time series
• Switching processes in financial markets
• Markov switching models in empirical finance
• An introduction to particle methods with financial applications

Cites work

• scientific article; zbMATH DE number 3954098 (Why is no real title available?)
• Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches
• Constant hazard against a change-point alternative: a bayesian approach with censored data
• Continuum Limit and Renormalization of Market Price Dynamics Based on PUCK Model
• Elements for a theory of financial risks
• Filtering via Simulation: Auxiliary Particle Filters
• Generalized autoregressive conditional heteroscedasticity
• Introduction to Econophysics
• Monte carlo filter using the genetic algorithm operators
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
• Observation of Two Types of Behaviors of Financial Bubbles and the Related Higher-Order Potential Forces
• Predictability of currency market exchange
• Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
• Sequential Monte Carlo Methods in Practice
• The grounds for time dependent market potentials from dealers' dynamics
• The pricing of options and corporate liabilities

This page was built for publication: Rapid detection of the switching point in a financial market structure using the particle filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5219476)