Optimal Hedge Ratio Estimation for Bitcoin Futures using Kalman Filter.
Toshiko MatsuiWilliam J. KnottenbeltPublished in: ICBC (2023)
Keyphrases
- kalman filter
- extended kalman filter
- state estimation
- kalman filtering
- importance sampling
- update equations
- particle filter
- object tracking
- target tracking
- state space model
- motion parameters
- dynamic programming
- mean shift
- optimal solution
- particle filtering
- bayesian filtering
- data association
- adaptive kalman filter
- standard deviation
- robust tracking
- credit card
- image processing
- dynamic model
- reduced order model
- three dimensional