Forecasting trends with asset prices.
Authors
Publication date
- BELHADJAYED Ahmed
- LOEPER Gregoire
- ABERGEL Frederic
- BEL HADJ AYED Ahmed
2016
Publication type
Journal Article
Summary
The question of interest in this paper is the estimation of the trend of a financial asset, and the impact of its misspecification on investment strategies. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. Motivated by the use of Kalman filtering as a forecasting tool, we address the problem of parameters estimation, and measure the effect of parameters mis-specification. Numerical examples illustrate the difficulty of trend forecasting in financial time series.
Publisher
Informa UK Limited
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