Modelling stock return sensitivities to economic factors with the Kalman filter and neural networks.
Yves BentzLaurence BooneJerome ConnorPublished in: CIFEr (1996)
Keyphrases
- kalman filter
- neural network
- kalman filtering
- state estimation
- pattern recognition
- object tracking
- extended kalman filter
- artificial neural networks
- target tracking
- robust tracking
- particle filter
- multilayer perceptron
- fuzzy logic
- data association
- state space model
- particle filtering
- stock market
- training algorithm
- neural network model
- back propagation
- stock price
- simultaneous localization and mapping
- data sets
- maximum likelihood
- nearest neighbor
- data analysis
- image sequences
- image segmentation
- learning algorithm
- bayesian filtering
- rao blackwellized particle filter