英文标题：
《Asymptotic Filter Behavior for High-Frequency Expert Opinions in a
  Market with Gaussian Drift》
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作者：
Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich
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最新提交年份：
2020
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英文摘要：
  This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in the form of noisy signals about the current state of the drift arriving at the jump times of a homogeneous Poisson process. Drift estimates are based on Kalman filter techniques and described by the conditional mean and covariance matrix of the drift given the observations. We study the filter asymptotics for increasing arrival intensity of expert opinions and prove that the conditional mean is a consistent drift estimator, it converges in the mean-square sense to the hidden drift. Thus, in the limit as the arrival intensity goes to infinity investors have full information about the drift.
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中文摘要：
本文研究了一个股票收益率依赖于隐式高斯均值回复漂移过程的金融市场。关于漂移的信息是从返回值和专家意见中获得的，这些信息是关于到达齐次泊松过程跳跃时间的漂移当前状态的噪声信号。漂移估计基于卡尔曼滤波技术，由给定观测值漂移的条件均值和协方差矩阵描述。我们研究了增加专家意见到达强度的滤波器渐近性，证明了条件均值是一致漂移估计量，它在均方意义下收敛于隐藏漂移。因此，在到达强度达到无穷大的极限范围内，投资者拥有关于漂移的全部信息。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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