Application of Kalman Filter in Finance
This research project is for Columbia University Engineering School APMA 4903 class (supervised by Professor Chris Wiggins chris.wiggins@gmail.com). The team members are:
Bella Wu (bw2604@columbia.edu) Maggie Yang (my2652@columbia.edu) Junhui Zhang (jz2903@columbia.edu)
In this folder, we include two codes in our presentation, one is an example of tracking of mobile in wireless network (named algo demo code) (reference: https://arxiv.org/pdf/1204.0375.pdf), and the other one is a Financial application using Kalman Filter to predict the stock price (named presentation) (reference: https://github.com/herzog-ch/stock-prediction-using-kalman-in-python). We also attach our presentation powerpoint (named APMA 4903_Kalman Filter) with the primary reference on the second page.