Please give a simple example how to use Kalman filter

CarolynT · February 28th, 2005, 4:42 am

I am confused with the term--state price and hidden state price in Kalman filter papers. Any one can give an easy understandable example?

amleto · March 3rd, 2005, 3:41 pm

Hi, I am sorry I don't have the answer.On the opposite, could you suggest me any good introductory paperson the use of Kalman filtering in finance?ThanksAmleto

monlavingia · March 3rd, 2005, 4:48 pm

A simple introduction can be found in Vidyamurthy's 'Pairs Trading' - Pairs tradingGives a good general intro to Kalman filtering and I think it goes through a few decent examples