Forecasting trends with asset prices
研究了金融资产趋势的估计问题，以及趋势设定错误对投资策略的影响，使用卡尔曼滤波进行参数估计并衡量误设后果，数值例子显示趋势预测的困难。
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 parameter estimation, and measure the effect of parameter misspecification. Numerical examples illustrate the difficulty of trend forecasting in financial time series.