{"id":"https://openalex.org/W2332282366","doi":"https://doi.org/10.1109/jstsp.2016.2549499","title":"Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes","display_name":"Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes","publication_year":2016,"publication_date":"2016-03-31","ids":{"openalex":"https://openalex.org/W2332282366","doi":"https://doi.org/10.1109/jstsp.2016.2549499","mag":"2332282366"},"language":"en","primary_location":{"id":"doi:10.1109/jstsp.2016.2549499","is_oa":false,"landing_page_url":"https://doi.org/10.1109/jstsp.2016.2549499","pdf_url":null,"source":{"id":"https://openalex.org/S42167783","display_name":"IEEE Journal of Selected Topics in Signal Processing","issn_l":"1932-4553","issn":["1932-4553","1941-0484"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Journal of Selected Topics in Signal Processing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065842928","display_name":"Anton Tenyakov","orcid":null},"institutions":[{"id":"https://openalex.org/I125749732","display_name":"Western University","ror":"https://ror.org/02grkyz14","country_code":"CA","type":"education","lineage":["https://openalex.org/I125749732"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Anton Tenyakov","raw_affiliation_strings":["Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, Canada","institution_ids":["https://openalex.org/I125749732"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5010674696","display_name":"Rogemar Mamon","orcid":"https://orcid.org/0000-0003-0885-7685"},"institutions":[{"id":"https://openalex.org/I2802549117","display_name":"TD Bank Group","ror":"https://ror.org/04jjb9549","country_code":"CA","type":"other","lineage":["https://openalex.org/I2802549117"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Rogemar Mamon","raw_affiliation_strings":["Treasury and Balance Sheet Management Department, TD Bank Financial Group, Toronto, ON, Canada"],"affiliations":[{"raw_affiliation_string":"Treasury and Balance Sheet Management Department, TD Bank Financial Group, Toronto, ON, Canada","institution_ids":["https://openalex.org/I2802549117"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5024791398","display_name":"Matt Davison","orcid":"https://orcid.org/0000-0001-7948-4658"},"institutions":[{"id":"https://openalex.org/I125749732","display_name":"Western University","ror":"https://ror.org/02grkyz14","country_code":"CA","type":"education","lineage":["https://openalex.org/I125749732"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Matt Davison","raw_affiliation_strings":["Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, Canada","institution_ids":["https://openalex.org/I125749732"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5065842928"],"corresponding_institution_ids":["https://openalex.org/I125749732"],"apc_list":null,"apc_paid":null,"fwci":3.6049,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.92601547,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"10","issue":"6","first_page":"994","last_page":"1005"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.7213276028633118},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6599938869476318},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5201264023780823},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.5042909383773804},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.4924350678920746},{"id":"https://openalex.org/keywords/liquidity-risk","display_name":"Liquidity risk","score":0.4422313868999481},{"id":"https://openalex.org/keywords/metric","display_name":"Metric (unit)","score":0.42717689275741577},{"id":"https://openalex.org/keywords/model-selection","display_name":"Model selection","score":0.4146580994129181},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3730970323085785},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2426091432571411},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.19569045305252075},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.11918953061103821}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7213276028633118},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6599938869476318},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5201264023780823},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.5042909383773804},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.4924350678920746},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.4422313868999481},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.42717689275741577},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.4146580994129181},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3730970323085785},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2426091432571411},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.19569045305252075},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.11918953061103821},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/jstsp.2016.2549499","is_oa":false,"landing_page_url":"https://doi.org/10.1109/jstsp.2016.2549499","pdf_url":null,"source":{"id":"https://openalex.org/S42167783","display_name":"IEEE Journal of Selected Topics in Signal Processing","issn_l":"1932-4553","issn":["1932-4553","1941-0484"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Journal of Selected Topics in Signal Processing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.5,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W53589709","https://openalex.org/W64731065","https://openalex.org/W70169678","https://openalex.org/W644820594","https://openalex.org/W1483862366","https://openalex.org/W1488001421","https://openalex.org/W1537775937","https://openalex.org/W1550128874","https://openalex.org/W1704304288","https://openalex.org/W1770325517","https://openalex.org/W1972275932","https://openalex.org/W1983264599","https://openalex.org/W2004897990","https://openalex.org/W2010897556","https://openalex.org/W2029752679","https://openalex.org/W2045393750","https://openalex.org/W2046839167","https://openalex.org/W2049633694","https://openalex.org/W2078086293","https://openalex.org/W2083809635","https://openalex.org/W2086160471","https://openalex.org/W2111631814","https://openalex.org/W2142635246","https://openalex.org/W2145319139","https://openalex.org/W2153892551","https://openalex.org/W2165714389","https://openalex.org/W2168175751","https://openalex.org/W2293176873","https://openalex.org/W3021840700","https://openalex.org/W3121630491","https://openalex.org/W3122686961","https://openalex.org/W3125334663","https://openalex.org/W3125652314","https://openalex.org/W3126113144","https://openalex.org/W3139788430","https://openalex.org/W3146166473","https://openalex.org/W4211008998","https://openalex.org/W4241115065","https://openalex.org/W4245879216","https://openalex.org/W6621271118","https://openalex.org/W6682752101","https://openalex.org/W6697090300"],"related_works":["https://openalex.org/W2487237418","https://openalex.org/W2338493419","https://openalex.org/W2071644447","https://openalex.org/W4239467151","https://openalex.org/W4362700270","https://openalex.org/W2258433299","https://openalex.org/W2964279115","https://openalex.org/W4232618173","https://openalex.org/W2357786395","https://openalex.org/W1984963657"],"abstract_inverted_index":{"This":[0],"paper":[1],"investigates":[2],"the":[3,15,22,25,32,44,73,79,86,106,111],"modeling":[4,80],"of":[5,18,46,72,78,105,113],"risk":[6],"due":[7],"to":[8,67],"market":[9,99],"and":[10,27,89,101,116],"funding":[11],"liquidity":[12,52,108],"by":[13,84],"capturing":[14],"joint":[16],"dynamics":[17],"three":[19,47],"time":[20,48],"series:":[21],"treasury-Eurodollar":[23],"spread,":[24],"VIX,":[26],"a":[28,38,102],"metric":[29],"derived":[30],"from":[31],"S&P":[33],"500":[34],"spread.":[35],"We":[36],"propose":[37],"two-regime":[39],"mean-reverting":[40],"model":[41,90,93],"for":[42,54],"explaining":[43],"behaviour":[45],"series,":[49],"which":[50],"mirror":[51],"levels":[53],"financial":[55],"markets.":[56],"An":[57],"expectation-maximisation":[58],"algorithm":[59],"in":[60],"conjunction":[61],"with":[62],"multivariate":[63],"filters":[64],"is":[65,82,95],"employed":[66],"construct":[68],"optimal":[69],"parameter":[70],"estimates":[71],"proposed":[74],"model.":[75],"The":[76,92],"selection":[77],"set-up":[81],"justified":[83],"balancing":[85],"best-fit":[87],"criterion":[88],"complexity.":[91],"performance":[94],"demonstrated":[96],"on":[97],"historical":[98],"data,":[100],"descriptive":[103],"analysis":[104],"different":[107],"measures":[109],"shows":[110],"presence":[112],"clear":[114],"high":[115],"low":[117],"states.":[118]},"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}