Advanced Pairs Trading: Kalman Filters

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How can an algorithm that helped in the Apollo mission be used in trading?

By using Kalman for time series analysis, we are presenting classic research for signal processing to create trading signals. In regards to pairs trading, creating indicators to show under/overvalued stocks.

Go-to-market faster than ever with ArbitrageLab, a python library that provides institutional-grade pairs trading algorithms to traders.

  1. Hudson & Thames
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Thank you for the video! I was wondering if data (for e.g. price), that went through Kalman filters can also be used as additional dimension in a multivariate time series model? Or should it only be applied to pairs?

antonkiselev