A Constrained Neural Network Kalman Filter for Price Estimation in High Frequency Financial Data.
Peter J. BollandJerome T. ConnorPublished in: Int. J. Neural Syst. (1997)
Keyphrases
- high frequency
- kalman filter
- financial data
- extended kalman filter
- adaptive kalman filter
- neural network
- low frequency
- state estimation
- kalman filtering
- update equations
- stock market
- particle filter
- wavelet transform
- subband
- high resolution
- object tracking
- stock price
- discrete wavelet transform
- estimation accuracy
- wavelet coefficients
- credit card
- mean shift
- financial information
- data sets
- similarity measure
- image processing
- learning vector quantization
- feature selection