State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the...

Neural networks, grid computing, parallelization, high-dimensional optimization, quantitative investment, decision support. - Neuronale Netze, Parallelisierung, hoch-dimensionale Optimierung, quantitatives Investment, Entscheidungsunterstützung