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Topic: Stat Arb Kalman Filter
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Posts: 25
Registered: 8/6/10
Stat Arb Kalman Filter
Posted: Aug 10, 2012 8:49 AM
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I'm trying out various stat arb approaches and have come unstuck with the
use of the Kalman filter in this paper...

(See Appendix A).

Can anyone give me some pointers or references as to how I can code the
filter in Matlab?



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