This paper is a revision of the author's doctoral dissertation, Zeng (1999), at Department of Statistics, the University of Wisconsin at Madison, completed under the supervision of Thomas G. Kurtz. I am grateful to Tom for his intuition, inspiration, guidance, and encouragement. I thank Philip Protter for introducing me to the tick-by-tick data, thank Cyrus Ramezani and an associate editor for many detailed comments that improved the exposition, and thank Jie Chen, Chin-Shan Chuang, Robert Elliott, Larry Harris, Michael Kosorok, Yi Lin, Mark Ready, Chris Rogers, Boris Rozovskii, Ruey Tsay, and Kam-Wah Tsui for helpful comments. I thank participants at the Workshop on Stochastic Theory and Control (2001) held at University of Kansas, the Quantitative Risk Management in Finance Conference (2000) held at Carnegie Mellon University, the Symposium on Inference for Stochastic Processes (2000) held at the University of Georgia, and seminar participants at the University of Kansas, University of Missouri at Kansas City, University of Southern California, and University of Wisconsin at Madison for comments. A more detailed version of the paper is available from author upon request.
A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
Version of Record online: 29 MAY 2003
Volume 13, Issue 3, pages 411–444, July 2003
How to Cite
Zeng, Y. (2003), A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering. Mathematical Finance, 13: 411–444. doi: 10.1111/1467-9965.t01-1-00022
Manuscript received October 2001; final revision received May 2002.
- Issue online: 29 MAY 2003
- Version of Record online: 29 MAY 2003
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