Filtering techniques for asset allocation using a Discrete Time Micro-structure model: a comparative study
This paper is a comparative study of different approaches to using a Discrete Time Micro-structure model. By using the three filtering techniques Extended Kalman, Unscented Kalman and Bootstrap Particle, the hidden variables; excess demand and market liquidity, were estimated and used in an asset allocation strategy that invested in the asset when the excess demand as estimated as positive, due to
