Adaptive signal processing of asset price dynamics with predictability analysis

Information Sciences

Volumn 178, Issue 1, 2008, Pages 203-219

  Mamon, Rogemar S ^a,b   Erlwein, Christina ^b   Bhushan Gopaluni, R ^c  

^a UNIVERSITY OF WESTERN ONTARIO   (Canada)

^b BRUNEL UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Gold price; Hidden Markov model; Optimal parameter estimation; Regime switching model

Indexed keywords

DISCRETE TIME CONTROL SYSTEMS; HIDDEN MARKOV MODELS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STATE SPACE METHODS;

GOLD PRICE; OPTIMAL PARAMETER ESTIMATION; PREDICTABILITY; REGIME-SWITCHING MODEL;

SIGNAL PROCESSING;

EID: 34948877634     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2007.05.021     Document Type: Article

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