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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

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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.

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  • $\begingroup$ thanks Carlo. much appreciated. its the examples with figure from first principles i need. thanks again $\endgroup$
    – Tom
    Commented Feb 23, 2016 at 13:56

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