Application of Kalman Filter in the Prediction of Stock Price

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.