Pair Trading > Models, Algorithms & Approaches

Kalman filter

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admin:
Some basic documentation will be there soon, concrete tutorials later (no estimate when). In any case I strongly advise to read Ernie Chan's book, it dedicates 8 pages just to Kalman model.

Stephane Benichou:
of course i already read it!!

admin:
Perfect! This model is quite new to me as well, so I need to get more experience myself before posting a tutorial.

Also, I need to perform screening of all US stocks and ETFs to get some more insight about this model pros and cons.

I already like that this model doesn't need any periods, on the other hand it seems quite selective to Delta parameter.

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