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Filtering in finance

Author

Listed:
  • Delphine Lautier

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Alireza Javaheri
  • Alain Galli

Abstract

No abstract is available for this item.

Suggested Citation

  • Delphine Lautier & Alireza Javaheri & Alain Galli, 2003. "Filtering in finance," Post-Print halshs-00153006, HAL.
    • Handle: RePEc:hal:journl:halshs-00153006
    as

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    Citations

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    Cited by:

    1. Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "On statistical arbitrage under a conditional factor model of equity returns," Papers 2309.02205, arXiv.org.
    2. repec:dau:papers:123456789/1245 is not listed on IDEAS
    3. Hui ‘Fox’ Ling & Douglas B. Stone, 2016. "Time-varying forecasts by variational approximation of sequential Bayesian inference," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 43-67, January.
    4. Fernando Antonio Lucena Aiube & Ariel Levy, 2019. "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 29(1), pages 223-248, January-A.
    5. Kumar Yashaswi, 2021. "Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting," Papers 2112.03193, arXiv.org.
    6. Delphine Lautier & Alain Galli, 2010. "Dynamic hedging strategies: an application to the crude oil market," Post-Print halshs-00640802, HAL.
    7. Kumar Yashaswi, 2021. "Adaptive calibration of Heston Model using PCRLB based switching Filter," Papers 2112.04576, arXiv.org.
    8. Delphine Lautier & Alain Galli, 2004. "Simple and extended Kalman filters: an application to term structures of commodity prices," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 963-973.
    9. Shalini Sharma & Víctor Elvira & Emilie Chouzenoux & Angshul Majumdar, 2021. "Recurrent Dictionary Learning for State-Space Models with an Application in Stock Forecasting," Post-Print hal-03184841, HAL.
    10. Son Le, 2018. "Algorithmic Trading with Fitted Q Iteration and Heston Model," Papers 1805.07478, arXiv.org.
    11. Elliott, Robert J. & Hyndman, Cody. B., 2007. "Parameter estimation in commodity markets: A filtering approach," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2350-2373, July.
    12. Eric Benhamou, 2018. "Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets," Papers 1811.11618, arXiv.org, revised Dec 2018.
    13. F. Cacace & A. Germani & M. Papi, 2019. "On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 503-525, December.
    14. repec:dau:papers:123456789/5470 is not listed on IDEAS
    15. Michael Prange & William J. Bailey & Benoit Couët & Hugues Djikpesse & Margaret Armstrong & Alain Galli & David Wilkinson, 2008. "Valuing Future Information Under Uncertainty Using Polynomial Chaos," Decision Analysis, INFORMS, vol. 5(3), pages 140-156, September.

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