MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

Could someone be so kind as to direct me to a good source that would explain time series (more specifically) stock price prediction using Kalman filters, Extended kalman filters or particle filters. Many thanks

share|cite|improve this question

This web site provides a good entry point on Kalman filtering. It has a listing of books, software and more. The applications are biased towards navigation, but the applications to economic time series are also covered.

For an older introduction, specifically to the use of Kalman filters for stock price prediction, see this thesis on Kalman filtering approach to market price forecasting.

share|cite|improve this answer
    
thanks Carlo. much appreciated. its the examples with figure from first principles i need. thanks again – Tom Feb 23 at 13:56

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.