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I found the coefficients of a simple regression Y = aX1+bX2 using a maximum likelihood optimization.
Now I would like t...
Asked 3 years ago
OK thank you, that helps
4 years ago
the momentum just keeps coming from the fact that you always look at which assets performs best and then invest in those. so in...
OK my code so far is: but actually, I think I explained the supposed outcome wrong earlier. what I want is there to be a quarter...
Hi, thanks for your answer. I'm not sure how I would include this in my code though. could I send you my code by email? thanks...
Hey guys I've been trying to implement a momentum strategy in Matlab. What I'm trying to do is look at a bunch of stocks, find...
4 years ago
I have written a Kalman Filter which works and I would now like to find the parameters which optimize the likelihood, usi...
I'm trying to use plotyy but I need a second line on the first y-axis. I'm doing this with the "line" but this screws up ...
I am running an fminsearch function but some parameter estimates are coming out as greater than one. As the parameters ar...
I have to estimate the following Kalman Filter using a maximum likelihood approach.
x(t+1) = A*x(t) + w(t), w ~ N(0, Q)...
I'm tying to implement a Kalman filter for a system of 6 dependent variables.
The purpose is to define 6 stock prices (i) as th...
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