Quantopian Lecture Series: Kalman Filters

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  • čas přidán 29. 08. 2024

Komentáře • 13

  • @alijabajramovic93
    @alijabajramovic93 Před 2 lety

    Nice intuitive intro to Kalman filters

  • @mamo2652
    @mamo2652 Před 3 lety +5

    Hi , the links of the notebooks are not working now , could you please have a look into it

    • @tupacandeazyefan
      @tupacandeazyefan Před 3 lety

      +1 would be greatly appreciated

    • @DragonGiveMeFire
      @DragonGiveMeFire Před 2 lety +1

      I had to deal with this filter, figured it out and now can say that the video is a lil bit misleading. Kalman filter does require user provided inputs that may completely change the result: observation covariance and transition covariance. Idk why they used 1 and 0.01 in the video, but try changing these values and you'll see. Commenting just to save your time.

  • @WahranRai
    @WahranRai Před 2 lety +1

    4:45 Where is defined the function *get_pricing()*
    I tried to run the notebook and got an error

    • @DragonGiveMeFire
      @DragonGiveMeFire Před 2 lety

      import pandas_datareader.data as web
      x = web.DataReader ('lmt', 'yahoo', '2013-01-01', '2015-01-01')
      And after that, use "x.Close" instead of just "x".
      I had to deal with this filter, figured it out and now can say that the video is a lil bit misleading. Kalman filter does require user provided inputs that may completely change the result: observation covariance and transition covariance. Idk why they used 1 and 0.01 in the video, but try changing these values and you'll see. Commenting just to save your time.

  • @tradingrobotresearchanddev4415

    Good explanation

  • @officaltradingden
    @officaltradingden Před 2 lety

    Also, in the example given around 5:30, how far back does the Kalman filter measure data points to create its estimation?

    • @cutiee1721
      @cutiee1721 Před rokem

      the first 20 data points of the spread

  • @shakirullah5840
    @shakirullah5840 Před 3 lety +1

    Thank you so much for the nice video. Would you pls tell us what software is used here to generate the results and graphs?

    • @ralf7131
      @ralf7131 Před 3 lety

      It is some sort of custom jupyter notebook instance and to generate the graphs he propably used the python module matplotlib I guess

    • @lucasastorian1
      @lucasastorian1 Před 3 lety +1

      @@ralf7131 The Kalman filter is implemented in the Python library pykalman.

  • @user-pr9wp7pi8z
    @user-pr9wp7pi8z Před rokem

    nice