Forecasting trends with asset prices
| Autor: | Ahmed Bel Hadj Ayed, Frédéric Abergel, Grégoire Loeper |
|---|---|
| Přispěvatelé: | Chaire de finance quantitative (FiQuant), Mathématiques et Informatique pour la Complexité et les Systèmes (MICS), CentraleSupélec-CentraleSupélec, School of Mathematical Sciences [Clayton], Monash University [Clayton], CentraleSupélec |
| Rok vydání: | 2015 |
| Předmět: |
FOS: Computer and information sciences
Stochastic investment model Financial asset Investment strategy 01 natural sciences Unobservable Statistics - Applications [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] FOS: Economics and business 010104 statistics & probability Portfolio Management (q-fin.PM) 0502 economics and business Econometrics Economics Applications (stat.AP) Asset (economics) 0101 mathematics Quantitative Finance - Portfolio Management 050208 finance Statistical Finance (q-fin.ST) 05 social sciences Quantitative Finance - Statistical Finance Ornstein–Uhlenbeck process Kalman filter [QFIN.ST]Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST] Trend analysis General Economics Econometrics and Finance Finance |
| Zdroj: | Quantitative Finance Quantitative Finance, Taylor & Francis (Routledge), 2016, 17 (3), pp.369-382. ⟨10.1080/14697688.2016.1206959⟩ |
| ISSN: | 1469-7688 1469-7696 |
| DOI: | 10.1080/14697688.2016.1206959⟩ |
| Popis: | In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to put it into practice. For this purpose, we obtain the likelihood in closed form, and provide two on-line computations of this function. Then, we investigate the asymptotic behaviour of statistical estimators. Finally, we quantify the effect of a bad calibration with the continuous time mis-specified Kalman filter. Numerical examples illustrate the difficulty of trend forecasting in financial time series. Comment: 26 pages, 11 figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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