UCL-Research-Project

Online Asset Pricing, Risk Management and Portfolio Optimisation: A Bayesian forecasting approach via Sequential Monte Carlo

Files Comments

• Chapter 2 notebook is about simple implementations on models for hidden and observational states. As well as an application using Kalman-Filter
• Stochastic volatitlity file, is about introductory applications in particles python library

Week 1 Progress

• Implemented simple state space model for log-returns of S&P500
• Applied filtering, smoothing and bayesian mcmc estimation of parameters
• Illustrated results in Week1/results/output.png