Concepedia
Statistics
Publications
11
Citations
504
H-Index
10
Active since
2000
Affiliations
The University of Adelaide(Current)
University of Calgary
Australian National University
Defence Science and Technology Group
University of Alberta
W.P. Malcolm is an author at The University of Adelaide specializing in stochastic processes, markov processes, and markov chains.
Publications per year
2000–2008
Pairs trading
Robert J. Elliott, John van der Hoek, W.P. Malcolm · Quantitative Finance · 2005 · 299 citations
Business, Economics, Finance +13
Robust parameter estimation for asset price models with Markov modulated volatilities
Robert J. Elliott, W.P. Malcolm, Allanus H. Tsoi · Journal of Economic Dynamics and Control · 2003 · 57 citations
Business, Economics, Finance +14
State and Mode Estimation for Discrete-Time Jump Markov Systems
Robert J. Elliott, François Dufour, W.P. Malcolm · SIAM Journal on Control and Optimization · 2005 · 34 citations
Engineering, Mathematics, Dynamical Systems +16
General smoothing formulas for Markov-modulated Poisson observations
Robert J. Elliott, W.P. Malcolm · IEEE Transactions on Automatic Control · 2005 · 24 citations
Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes
Robert J. Elliott, W.P. Malcolm · IEEE Transactions on Automatic Control · 2008 · 22 citations · Full text
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