Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market

Abstract

In this paper, we use filtering techniques to estimate the occurrence time of an event in a financial market. The occurrence time is being viewed as a Markov stopping time with respect to the σ-field generated by a hidden Markov process. We also generalize our result to the Nth occurrence time of that event.

Keywords:

• Hidden Markov filter
• Stopping time

Mathematics Subject Classification:

• 60G35
• 60J20
• 62M20