{"title":"An outline for a Kalman filter and recursive parameter estimation approach applied to stock market forecasting","authors":"D. McGonigal, D. Ionescu","doi":"10.1109/CCECE.1995.526633","DOIUrl":null,"url":null,"abstract":"An outline of a system that models and forecasts stock market processes is described. The method involves a spectral estimation approach to ARMA modelling, forecasting is performed through Kalman filtering, and adaptive parameter estimation performed via the Gauss-Newton algorithm.","PeriodicalId":158581,"journal":{"name":"Proceedings 1995 Canadian Conference on Electrical and Computer Engineering","volume":"300 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1995-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings 1995 Canadian Conference on Electrical and Computer Engineering","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CCECE.1995.526633","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 8
Abstract
An outline of a system that models and forecasts stock market processes is described. The method involves a spectral estimation approach to ARMA modelling, forecasting is performed through Kalman filtering, and adaptive parameter estimation performed via the Gauss-Newton algorithm.
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