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.
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Adaptive Estimation and Filtering in Finance
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LAP LAMBERT Academic Publishing Mai 2019, 2019
ISBN 10: 620010302X
ISBN 13: 9786200103024
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 320 pp. Englisch. Seller Inventory # 9786200103024
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Adaptive Estimation and Filtering in Finance
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Das AtanuDr. Atanu Das received MSc-Stat(Gold Medal) from The University of Burdwan, ME(2nd) & PhD (Engg) from Jadavpur University in 1998, 2002 & 2013. He is working as an Asst. Prof. CSE at NSEC under MAKAUT-WB, India. He served as. Seller Inventory # 297532097
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Adaptive Estimation and Filtering in Finance
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Adaptive Estimation and Filtering in Finance
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Taschenbuch. Condition: Neu. 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. Seller Inventory # 116823205
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Adaptive Estimation and Filtering in Finance
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Adaptive Estimation and Filtering in Finance
Published by
LAP LAMBERT Academic Publishing Mai 2019, 2019
ISBN 10: 620010302X
ISBN 13: 9786200103024
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 320 pp. Englisch. Seller Inventory # 9786200103024
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Adaptive Estimation and Filtering in Finance
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LAP LAMBERT Academic Publishing, 2019
ISBN 10: 620010302X
ISBN 13: 9786200103024
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9786200103024
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Adaptive Estimation and Filtering in Finance
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Adaptive Estimation and Filtering in Finance
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