An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options.
Junye LiPublished in: Comput. Stat. Data Anal. (2013)
Keyphrases
- stock price
- option pricing
- unscented kalman
- stock market
- non stationary
- stock exchange
- historical data
- technical indicators
- financial markets
- dow jones
- news articles
- financial data
- information extraction
- exchange rate
- portfolio optimization
- stock market data
- stock returns
- financial time series
- tft lcd
- stock data
- text categorization
- stock trading
- data mining techniques