Filtering without recursion and some of its uses in financial economics

By Simon Donker van Heel, Neil Shephard

Published 2026-09-09

Everscope rating

1768.1

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Non-recursive simulation-based weighted loss filtering. Problem types: Time Series Forecasting, Risk Management, Anomaly Detection, Optimization, Density Estimation, Online Learning, Market Making, Algorithmic Execution.

arXiv:2609.07207 · Paper rankings

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