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Article Archive For Keyword: Kalman

  • Data Smoothing using a Kalman Filter by Vince Banes

    ARTICLE SYNOPSIS...Data Smoothing using a Kalman Filter by Vince Banes ""The analysis of continuous pricing information works well with this form of filtering"" The concept of optimum estimation was introduced by Dr. R.E. Kalman in 1960. The first major application of hi

  • 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

  • Predicting Market Data Using The Kalman Filter, Pt 2 by R. Martinelli & N. Rhoads

    ARTICLE SYNOPSIS...Predicting Market Data Using The Kalman Filter, Pt 2 by R. Martinelli & N. Rhoads Can the Kalman filter be used to predict future price movement? In this second part of this series we answer this question. Previously, we discussed the Kalman filter and






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