Inertial sensor calibration plays a progressively important role in many areas of research among which navigation engineering. By performing this task accurately, it is possible to significantly increase general navigation performance by correctly filtering out the deterministic and stochastic...

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...