In continuous time, diffusion processes have been used for modelling financial dynamics for a long time. For example the Ornstein-Uhlenbeck process (the simplest mean-reverting process) has been used to model non-speculative price processes. We discuss non--parametric estimation of these processes using a wavelet filtration method, specifically the à trous algorithm.
Ornstein-Uhlenbeck process; Cardinal B-splines; Wavelet transform; A trous
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Computing in Economics and Finance, 7th International Conference, Yale University, 2001