That's an interesting idea. The Kalman filter is definitely used in finance, often together with time-series models like ARMA. I've been thinking about writing something, although it's a bit outside my usual engineering focus.
The challenge would be to keep it intuitive and accessible without oversimplifying. Still, it could be an interesting direction to explore.
That's an interesting idea. The Kalman filter is definitely used in finance, often together with time-series models like ARMA. I've been thinking about writing something, although it's a bit outside my usual engineering focus.
The challenge would be to keep it intuitive and accessible without oversimplifying. Still, it could be an interesting direction to explore.