Technical Analysis of STOCKS & COMMODITIES
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Predicting Market Data Using The Kalman Filter by R. Martinelli & N. Rhoads
ARTICLE SYNOPSIS...Predicting Market Data Using The Kalman Filter by R. Martinelli & N. Rhoads
The Kalman filter is a two-stage algorithm that assumes there is a smooth trendline within the data that represents the true value of the market before being perturbed by market