"Kalman Filtering with Applications in Finance" by Shengjie Xiu

Описание к видео "Kalman Filtering with Applications in Finance" by Shengjie Xiu

Presentation "Kalman Filtering with Applications in Finance" by Shengjie Xiu, tutorial in course IEDA3180 - Data-Driven Portfolio Optimization, Spring 2020/21.

This talk gives an introduction to Kalman filtering with an illustrative application in finance for intraday volume modeling.

📚 Portfolio Optimization book: https://portfoliooptimizationbook.com

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