论文标题
MLE在部分观察到的扩散中的一致性，并在市场微观结构建模中应用
Consistency of MLE for partially observed diffusions, with application in market microstructure modeling
论文作者
论文摘要
本文在部分观察到的扩散模型中为最大似然估计量（MLE）的一致性提供了足够的条件，这是根据相关的完全观察到的完全观察到的扩散的固定分布而言，假设未知参数值的集合是有限的。然后在市场微观结构的潜在价格模型的背景下验证了这种充分的条件，从而产生了该模型中未知参数的最大似然估计器的一致性。最后，我们使用从纳斯达克交易所获取的历史财务数据来计算后者的估计量。
This paper presents a tractable sufficient condition for the consistency of maximum likelihood estimators (MLEs) in partially observed diffusion models, stated in terms of stationary distribution of the associated fully observed diffusion, under the assumption that the set of unknown parameter values is finite. This sufficient condition is then verified in the context of a latent price model of market microstructure, yielding consistency of maximum likelihood estimators of the unknown parameters in this model. Finally, we compute the latter estimators using historical financial data taken from the NASDAQ exchange.
