Quantopian Lecture Collection: Kalman Filters

Kalman Filters are utilised in sign processing to estimate the fundamental condition of a procedure. They are unbelievably handy for finance, as we are continually getting noisy estimates of vital portions and trading indicators. This notebook introduces Kalman Filters and reveals some illustrations of application to quantitative finance. You can view the corresponding notebooks from this lecture below: http://little bit.ly/clonekalmanfilter.

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