Adaptive Estimation and Filtering in Finance

Atanu Das

ISBN 10: 620010302X / ISBN 13: 9786200103024

Edité par LAP LAMBERT Academic Publishing, 2019

Adaptive Estimation and Filtering in Finance | Atanu Das | Taschenbuch | 320 S. | Englisch | 2019 | LAP LAMBERT Academic Publishing | EAN 9786200103024 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. N° de réf. du vendeur 116823205

Synopsis :

Some salient contributions of this work are modification and characterization of Adaptive Kalman Filter (AKF) and application thereof in modelling and estimation of financial time series. The failure cases of AKF's have been identified and characterized. Modifications are then made to avoid the singularity, without affecting the essential performance of AKFs. These modified varieties of AKF techniques were characterized using both synthetic data and empirical data from Indian financial market. Performances of the existing and modified AKF methods are compared with the benchmark approaches and conventional adaptive methods (like Recursive Least Square and Least Mean Square) for beta and volatility (and hence VaR) estimation. Performances of the conventional and evolved adaptive methods have been compared with the performances of benchmark methods and advantages of the adaptive methods have been pointed out. The analysis would hopefully provide better understanding of Indian financial markets and permit better financial decisions.

Détails bibliographiques

Titre : Adaptive Estimation and Filtering in Finance
Éditeur : LAP LAMBERT Academic Publishing
Date d'édition : 2019
Reliure : Taschenbuch
Etat : Neu