Thursday, April 14, 2016

Particle Filter High Frequency Trading

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High-Frequency Jump Filtering In A Microstructure Model
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ForecastingHighandLowoffinancialtimeseries ...
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ArXiv:0901.1315v1 [q-fin.ST] 9 Jan 2009
Functionals of Brownian motion; Maximum; Minimum; High; Low; Open; Close; Particle Filter; Bayesian Statistics, Sequential Monte Carlo. 1 arXiv:0901.1315v1 [q like high frequency funds unwinding positions the asset within a trading period using standard stochastic calculus tools ... Read More

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MNB WORKING PAPERS
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Particle Filtering In High-Frequency Data.
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Particle Filter-Based On-Line Estimation Of Spot (Cross ...
Particle Filter-Based On-Line Estimation of Spot (Cross-) Contents 1 Modeling Aspects Features of Ultra High-Frequency Financial Data A Nonlinear State-Space Model for Tick-by-Tick Data A Class of Nonlinear Market A Class of Nonlinear Market Microstructure Noise Models 2 Spot (Cross ... Fetch This Document

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