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