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Authors: ShinIchi Aihara 1 ; Arunabha Bagchi 2 and Saikat Saha 3

Affiliations: 1 Tokyo University of Science Suwa, Japan ; 2 Twente University, Netherlands ; 3 Likoping University, Sweden

ISBN: 978-989-8565-70-9

Keyword(s): Particle Filter, Stochastic Volatility, Parameter Identification, Adaptive Filter.

Related Ontology Subjects/Areas/Topics: Adaptive Signal Processing and Control ; Informatics in Control, Automation and Robotics ; Nonlinear Signals and Systems ; Optimization Problems in Signal Processing ; Signal Processing, Sensors, Systems Modeling and Control ; System Identification ; System Modeling

Abstract: We study the sequential identification problem for Bates stochastic volatility model, which is widely used as the model of a stock in finance. By using the exact simulation method, a particle filter for estimating stochastic volatility is constructed. The systems parameters are sequentially estimated with the aid of parallel filtering algorithm. To improve the estimation performance for unknown parameters, the new resampling procedure is proposed. Simulation studies for checking the feasibility of the developed scheme are demonstrated.

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Paper citation in several formats:
Aihara, S.; Bagchi, A. and Saha, S. (2013). Adaptive Filtering for Stochastic Volatility by using Exact Sampling.In Proceedings of the 10th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-8565-70-9, pages 326-335. DOI: 10.5220/0004454703260335

@conference{icinco13,
author={ShinIchi Aihara. and Arunabha Bagchi. and Saikat Saha.},
title={Adaptive Filtering for Stochastic Volatility by using Exact Sampling},
booktitle={Proceedings of the 10th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2013},
pages={326-335},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004454703260335},
isbn={978-989-8565-70-9},
}

TY - CONF

JO - Proceedings of the 10th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - Adaptive Filtering for Stochastic Volatility by using Exact Sampling
SN - 978-989-8565-70-9
AU - Aihara, S.
AU - Bagchi, A.
AU - Saha, S.
PY - 2013
SP - 326
EP - 335
DO - 10.5220/0004454703260335

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