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Stochastic filtering methods in electronic trading. (English) Zbl 1420.91534

Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 503-542 (2017).
Summary: Stochastic filtering methods have found many applications, from space shuttles to self-driving cars. In this chapter we shall review some classical and modern filtering algorithms and show how they can be used in finance, especially electronic trading, to estimate and forecast econometric models, stochastic volatility and term structure of risky bonds. We shall discuss the practicalities, such as outlier filtering, parameter estimation, and diagnostics.
For the entire collection see [Zbl 1390.91011].

MSC:

91G80 Financial applications of other theories
93E11 Filtering in stochastic control theory
60G35 Signal detection and filtering (aspects of stochastic processes)
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