Particle Filtering and Inference for Limit Order Books in High Frequency Finance.

Pinzhang Wang Lin Li Simon J. Godsill

Published in: ICASSP (2018)

Keyphrases

high frequency
particle filtering
low frequency
visual tracking
high resolution
wavelet transform
particle filter
discrete wavelet transform
subband
kalman filter
dynamic bayesian networks
wavelet coefficients
high frequencies
articulated body
high frequency components