Tag: ETF

Kalman Filter (02) – S&P 500 and Dow Jones Pairs Trading

Our previous article on Kalman filter gave us a simple linear regression output. The model is designed to handle noisy … Continue Reading Kalman Filter (02) – S&P 500 and Dow Jones Pairs Trading

Kalman Filter (01) – S&P 500 and Dow Jones Linear Regression

Linear Regression Let’s get some Kalman filter basics and start playing around with it. There is a long history about … Continue Reading Kalman Filter (01) – S&P 500 and Dow Jones Linear Regression