This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete...

Key Features:An example-driven elucidation of a complex technical area, with appeal to a wide variety of readers in the discipline of finance and economicsProblems are analyzed using real historical data, with solution steps that are clearly laid out for the reader's referenceApplications were...

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...