Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar by Yuan Yin: Consistency of MLE for Partially Observed Diffusions: Application to Market Microstructure Modeling




RE 122

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Yuan Yin, Illinois Institute of Technology



Consistency of MLE for partially observed diffusions: application to market microstructure modeling



In this talk, I will present the proof of consistency of the maximum likelihood estimator (MLE) for partially observed diffusions. This result allows one to deduce the desired consistency from a certain identifiability property of the fully observed system, under the assumption that the unknown parameter set is finite. This result is applied to the model of market microstructure with latent (unobserved) price process, for which the estimation is performed using real market data. Joint work with I. Cialenco and S. Nadtochiy.


Note:Face coverings will be required. Even if you are fully vaccinated, all students, staff, faculty, and guests must wear a face covering indoors. The university will review and revise the mask protocol as appropriate given changes to state and city public-health guidelines.


Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar


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