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Topic: Stat Arb Kalman Filter
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ladidalimey

Posts: 25
Registered: 8/6/10
Stat Arb Kalman Filter
Posted: Aug 10, 2012 8:49 AM
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Hi,

I'm trying out various stat arb approaches and have come unstuck with the
use of the Kalman filter in this paper...

http://www.ljmu.ac.uk/Images_Everyone/Jozef_1st%281%29.pdf

(See Appendix A).

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

Thanks.

L.




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