14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract


Paper FrB3.4

Chiarella, Carl (Univ. of Tech. Sydney), Gao, Shenhuai (Univ. of Tech. Sydney)

Direct Estimation of a Continuous Time Model of the Stock Market

Scheduled for presentation during the Invited Session "Application Results of Continuous-Time Model Identification" (FrB3), Friday, March 31, 2006, 16:30−16:50, Hunter Room

14th IFAC Symposium on System Identification, March 29 - 31, 2006, Newcastle, Australia

This information is tentative and subject to change. Compiled on September 24, 2018

Keywords Continuous Time System Estimation


This paper introduces an easy to follow method for direct estimation of a continuous time system dynamic model. To minimise the output error a continuous time model can be estimated directly by discretisation and simulation under a nonlinear least squares algorithm. This method is applied to the estimation of a stock market model. This paper also discusses the numerical difficulties involved in discrete time models that bring about the unit root illusion in econometrics, which can be avoided by the use of continuous time models.