Resources on Kalman filter predictors?

• Kalman-and-Bayesian-Filters-in-Python

  32 15,787 0.0 Jupyter Notebook

  Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.

Here is a detailed introduction/tutorial: https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python

• research_public

  5 2,268 0.0 Jupyter Notebook

  Quantitative research and educational materials

  

• WorkOS

  workos.com sponsored

  The modern identity platform for B2B SaaS. The APIs are flexible and easy-to-use, supporting authentication, user identity, and complex enterprise features like SSO and SCIM provisioning.

  

• Machine-Learning-for-Algorithmic-Trading-Second-Edition_Original

  33 1,075 0.0 Jupyter Notebook

  Machine Learning for Algorithmic Trading, Second Edition - published by Packt

  

Check out Chapters 4 and Chapter 9 in "Machine Learning for Algorithmic Trading". There is a book you can buy if you want to go that deep, but the github for the book has as lot of the good stuff. As others have noted, it's more for denoising than prediction. https://github.com/PacktPublishing/Machine-Learning-for-Algorithmic-Trading-Second-Edition_Original/tree/master/04_alpha_factor_research

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