Quantitative analysis

Tag: GARCH

  • Kalman filter

    Kalman filter

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    by

    Bogdan Ciocoiu
    in

    As a quantitative analyst in financial markets, it is crucial to deploy models that can efficiently manage missing or noisy data and extract meaningful trends. The Kalman filter is one of the most robust tools for this purpose. Originating from control theory, the Kalman filter is now extensively used in finance to smooth out noise in time…