Essays about: "discrete time micro-structure model"

Found 1 essay containing the words discrete time micro-structure model.

  1. 1. Filtering techniques for asset allocation using a Discrete Time Micro-structure model: a comparative study

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henning Zakrisson; [2017]
    Keywords : portfolio management; kalman filter; asset allocation; hidden variable; state space; discrete time micro-structure model; Business and Economics;

    Abstract : This paper is a comparative study of different approaches to using a Discrete Time Micro-structure model. By using the three filtering techniques Extended Kalman, Unscented Kalman and Bootstrap Particle, the hidden variables; excess demand and market liquidity, were estimated and used in an asset allocation strategy that invested in the asset when the excess demand as estimated as positive, due to the assumption that positive excess demand would make the price go up. READ MORE