computationally efficient filtering algorithm to estimate the non-linear model. Calculations are greatly simplified by appropriate … augmentation of the transition equation and exploiting the conditionally linear and Gaussian structure. The algorithm is shown to …

-known framework of PDE used for those financial assets, is not suitable to express Bitcoin's dynamics. In this article, an algorithm …

. It is a bedrock assumption in theory that securities prices reveal how effectively public companies utilize capital. This …

economy.Theory and regulation have failed to keep pace with markets where traders rely on pre-programmed algorithms to execute … fully control the operation of the algorithm. Algorithms can execute many thousands of trades in milliseconds, crunching … for a trader to fully predict how an algorithm might behave ex ante and near-impossible for her to track and control its …

computationally efficient filtering algorithm to estimate the nonlinear model. The algorithm is shown to be accurate in approximating …