离散控制Matlab代码-LatentAlphaEstimation:EM算法的潜在Alpha模型参数估计的实现

上传者: 38659646 | 上传时间: 2022-10-28 21:51:10 | 文件大小: 1.71MB | 文件类型: ZIP
离散控制Matlab代码潜在Alpha模型估算代码的文档 作者: Philippe Casgrain 电子邮件: MATLAB和C代码的此集合可用于通过EM算法估算纯跳跃潜在alpha模型中的参数。 有关这些模型和估计算法以及它们在算法交易中的使用的更多信息,请参见[^ fn1]。 注意:在此存储库中找到的许多C代码都是基于的经典HMM的Forward-Backward算法的C / mex实现。 该算法的原始代码以及不同实现方式的比较。 价格过程模型 我们考虑资产价格过程$ S_t $的连续时间模型,该模型由潜在的隐马尔可夫链$ \ Theta $驱动。 我们假设此特定模型的动力学表示为$$ dS_t = \ delta \ left(dN_t ^ +-dN_t ^-\ right); $ $$,其中$ \ delta> 0 $表示刻度尺寸,而$ N_t ^ \ pm $是具有相应随机强度$ \ lambda_t ^ {\ pm} $的泊松过程。 我们假设强度过程采用如下形式$ $$ \ lambda_t ^ {\ pm} = \ sigma + \ kappa(\ Theta_t-S

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