Preliminary Test Results of Time Series Embedding
Following on from my post yesterday, this post presents some preliminary results from the test I was running while writing yesterday’s post. […]
Read moreTaken's Theorem and Time Series Embedding
I am now back from my summer break and am currently looking at using Taken’s theorem and am using an adapted version […]
Read moreProcess Noise Covariance Matrix Q for a Kalman Filter
Since my last post I have been working on the process noise covariance matrix Q, with a view to optimising both the […]
Read moreDetermining the Noise Covariance Matrix R for a Kalman Filter
An important part of getting a Kalman filter to work well is tuning the process noise covariance matrix Q and the measurement […]
Read moreExtended Kalman Filter, Alternative Version
Below is alternative code for an Extended Kalman filter for a sine wave, which has 4 states: the sine wave value, the phase, […]
Read moreExtended Kalman Filter
In the code box below I provide code for an Extended Kalman filter to model a sine wave. This is a mashup […]
Read moreOrder Flow System
Order flow system is strategy, which I personally use for taking intraday trading decisions. Here’s an extract from interview of Trader Dali, […]
Read moreOpen Interest: What it means to traders
We all know Futures and Options, or for that matter, any derivative instrument would actually sum up to have a zero-sum pay-off, […]
Read moreTests of Constant and Variable Acceleration Model Kalman Filters
In my last post I said that this next post would report the results of tests on a Constant Acceleration model Kalman filter, and […]
Read moreTest of Constant Velocity Model Kalman Filter
Following on from my previous post, this post is a more detailed description of the testing methodology to test kinematic motion models […]
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