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Bayes estimation via filtering equation for O-U process with discrete noises: application to the micro-movement of stock prices

机译：通过离散噪声滤除O-U流程的筛选方程的贝叶斯估计：应用于股票价格的微观运动

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A model of 0-U process with discrete noises is proposed for the price micro-movement, which refers to the transactional price behavior. The model can be viewed as a multivariate point process and framed as a filtering problem with counting process observations. Under this framework, the whole sample paths are observable and are used for parameter estimation. Based on the filtering equation, we construct a consistent recursive algorithm to compute the approximate posterior and the Bayes estimates. Finally, Bayes estimates for a two-month transaction prices of Microsoft are obtained.

机译：为价格微观运动提出了一种具有离散噪声的0-U过程的模型，这是指交易价格行为。该模型可以被视为多变量点处理，并以计数过程观测为滤波问题。在该框架下，可以观察到整个样品路径，并用于参数估计。基于过滤方程，我们构建一个一致的递归算法来计算近似后的后部和贝斯估计。最后，获得了Microsoft为期两月交易价格的贝叶斯估计。

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《Workshop on Stochastic Theory and Control》|2002年||共16页
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Yong Zeng; Laurie C. Scott;
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中图分类 TP273-53;
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1. A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs [J] . Spalding R, Tsui KW, Zeng Y Nonlinear Analysis: An International Multidisciplinary Journal . 2006,第2期

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3. Comparative Study between the Discrete-Frequency Kalman Filtering and the Discrete-Time Kalman Filtering with Application in Noise Reduction in Speech Signals [J] . Leandro Aureliano da Silva, Gilberto Arantes Carrijo, Eduardo Silva Vasconcelos, Journal of electrical and computer engineering . 2018,第PTa1期

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4. Bayes estimation via filtering equation for O-U process with discrete noises: application to the micro-movement of stock prices [C] . Yong Zeng, Laurie C. Scott Workshop on Stochastic Theory and Control . 2002

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5. Bayesian inference via filtering of micro-movement multivariate stock price models with discrete noises. [D] . Scott, Laurie Croslin. 2006

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Bayes estimation via filtering equation for O-U process with discrete noises: application to the micro-movement of stock prices

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