Kalman Filter

[UuxjKAMlqI]

Have you used the Kalman filter in your work or research? If so, how did you use it?

 

[Daniel Duffy]

This is a very open question. Can you be a bit more precise?

 

[UuxjKAMlqI]

This is a very open question. Can you be a bit more precise?

"Have you used the Kalman filter in your work or research in quantitative finance? How did you use it? About which state variables were you using it to make inferences? What were your goals in using it? What problems was it supposed to solve? Did it or did it not help? What quantifiable improvements resulted from its use?"

 

[Daniel Duffy]

That's not what I mean. You are asking for a reason I presume. In order to give an answer the question will need to be scoped/more focused. It feels like a questionnaire/multiple choice..
On sites like ..., for example you would get no response as it seems like "teach me Kalman fllter". There they use the Socratic approach.
And google is a good place to start.

IMO your best chance at an answer is if you are learning KF and you have a question like "I am trying to apply KF filter to GARCH/ARIMA with financial data feeds?" Something like that. In fact, you could give answers to your questions and post them. I reckon you will probably get more response.

Speaking for myself, my 2 cents.

 

[UuxjKAMlqI]

You are asking for a reason I presume.

The reason is to get first-hand testimony of practitioners of quantitative finance on how they have used the Kalman Filter and what quantifiable benefits it had.

On sites like ..., for example you would get no response as it seems like "teach me Kalman fllter".

"Teach me Kalman filter" was not my intent.

Speaking for myself, my 2 cents.

As always, thank you for your response Dr. Duffy. Now that you're here, could you tell me how you used the Kalman filter in finance? Or did you never use it in finance?