Application of Kalman Filter in the Prediction of Stock Price

DOI

10.2991/kam-15.2015.53How to use a DOI?

Keywords

kalman filter; predict; stock price; state-space model.

Abstract

Based on the fluctuation of the stock market and the dynamic tracking features of Kalman filter, taking stock of Changbaishan (603099) as an example, the variation process of stock price is viewed as a maneuvering system and the state-space model of stock price can be established. The forecasting result of 27 stock closing price historical data from September 22, 2014 to November 4, 2014 is given by using Kalman predictor and MATLAB computer simulation. The result shows that Kalman filter in the prediction is effective, simple and rapid.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xu Yan
AU  - Zhang Guosheng
PY  - 2015/06
DA  - 2015/06
TI  - Application of Kalman Filter in the Prediction of Stock Price
BT  - Proceedings of the 5th International Symposium on Knowledge Acquisition and Modeling
PB  - Atlantis Press
SP  - 197
EP  - 198
SN  - 1951-6851
UR  - https://doi.org/10.2991/kam-15.2015.53
DO  - 10.2991/kam-15.2015.53
ID  - Yan2015/06
ER  -