Video: Rogemar Mamon, "Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity"

Video From 14w5157: Recent Advances and Trends in Time Series Analysis: Nonlinear Time Series, High Dimensional Inference and Beyond

Rogemar Mamon, University of Western Ontario (Canada)

Friday, May 2, 2014 09:00 - 09:32

Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity

Rogemar Mamon, Video: Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity

Rogemar Mamon, Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity, Recent Advances and Trends in Time Series Analysis: Nonlinear Time Series, High Dimensional Inference and Beyond, BIRS, BIRS talk, 14w5157, math, mathematics, video

Banff International Research Station

presentation

mpeg4

73M

http://www.birs.ca/events/2014/5-day-workshops/14w5157/videos

http://www.birs.ca/events/2014/5-day-workshops/14w5157/videos/watch/201405020900-Mamon.html

Download this video (73M)