Dynamic Density Estimation of Market Microstructure Variables
via Auxiliary Particle Filtering
Daniel Nehren, David Fellah, Jesus Ruiz-Mata and Yichen Qin
The Journal of Trading Fall 2012, 7 (4) 55-64; DOI: https://doi.org/10.3905/jot.2012.7.4.055
Daniel Nehren
is the global head of the Equity Quantitative Solutions groups at J.P. Morgan in New York, NY.
David Fellah
runs the Americas Quantitative Solutions’ Algorithmic Trading group at J.P. Morgan in New York, NY.
Jesus Ruiz-Mata
runs the Quantitative Solutions’ Portfolio Analytics group at J.P. Morgan in New York, NY.
Yichen Qin
is a Ph.D. student at the Department of Applied Math and Statistics, Johns Hopkins University in Baltimore, Maryland.
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Dynamic Density Estimation of Market Microstructure Variables
via Auxiliary Particle Filtering
via Auxiliary Particle Filtering
Daniel Nehren, David Fellah, Jesus Ruiz-Mata, Yichen Qin
The Journal of Trading Sep 2012, 7 (4) 55-64; DOI: 10.3905/jot.2012.7.4.055