Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift

@article{Gabih2018AsymptoticFB,
  title={Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift},
  author={Abdelali Gabih and Hakam Kondakji and R. Wunderlich},
  journal={Stochastic Models},
  year={2018},
  volume={36},
  pages={519 - 547}
}
  • Abdelali Gabih, Hakam Kondakji, R. Wunderlich
  • Published 2018
  • Mathematics, Economics
  • Stochastic Models
  • Abstract This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in the form of noisy signals about the current state of the drift arriving at the jump times of a homogeneous Poisson process. Drift estimates are based on Kalman filter techniques and described by the conditional mean and covariance matrix of the drift given the observations. We study the filter… CONTINUE READING
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