Application of the standard and extended Kalman filters to an AR-N Model (autoregressive model) that intends to represent the variation of assets in time. These algorithms were principally applied to the Bitcoin value time series.
Author: Gonzalo Quintana
Kalman application to stocks.pdf: report with theoretical explanations and experiments.
KalmanForStocksv7.m: algorithms with measurement and prediction steps.
KalmanForStocksv8.m: algorithms without any measurements for 15 days (only predictions).
KalmanForStocksBarridoMatrices.m: calculates MSE for different variances of the process and meausurement noises.
