Probability for Event Streams
Probability describes uncertain events conditional on an information set. Market applications require careful treatment of dependence, conditioning, stopping, and selection.
Central questions
- What random variable and filtration represent the observation process?
- Which independence assumption is being made?
- How do conditional expectation, variance, and likelihood enter estimation?
Planned model
Build event sequences from Bernoulli, categorical, and dependent processes while showing unconditional and conditional probabilities as information arrives.