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Predicting Market Data With A Kalman Filter

Harnessing the (Mis)Behavior of Markets

Linear Estimation and the Kalman Filter

Market Data Prediction with an Adaptive Kalman Filter

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Kalman Filter Software For Your PC

The Kalman filter's predictive power has been used in the Apollo program, Space Shuttle and cruise missiles to name a few. At Haiku Laboratories we use that same technology to predict the value of a stock from its historical prices. The chart below shows an example of the filter's predictions for one year of

AXL opening prices ending 09/25/09. The prices are shown as an orange line and the Kalman predictions as green dots. Using the investment strategy described in Predicting Market Data With A Kalman Filter on the AXL data yields the Fortune chart below. It shows a 2.5-fold increase on investment over the year. (See more examples)

The Kalman filter is available as an Excel Add-In.