JSM 2005 - Toronto

Abstract #302534

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 344
Type: Invited
Date/Time: Wednesday, August 10, 2005 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistical Computing
Abstract - #302534
Title: Particle Filter Methods for High-Frequency Data
Author(s): Michael Pitt*+
Companies: The University of Warwick
Address: Department of Economics, Coventry, International, cv4 7al, England
Keywords: diffusions ; particle filters ; stochastic volatility
Abstract:

In this paper, we examine the performance of particle filters for high-frequency data. Of particular interest is the design of filters to ensure statistical efficiency. The applications will pricipally be discretely observed diffusions arising in finance. We will demonstrate the performance of the methodology on simulated data and on high-frequency return data, which will be modeled allowing for jumps in the price process.

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Revised March 2005