Business Analytics and Making Decision Based on Kalman Filter in Stock Prediction Case

Stephen Kurniawan; Paolo Mercorelli

doi:10.1007/978-981-96-2694-6_21

Business Analytics and Making Decision Based on Kalman Filter in Stock Prediction Case

Stephen Kurniawan
, Paolo Mercorelli^*

^*Korrespondierende/r Autor/-in für diese Arbeit

Leuphana Universität Lüneburg

Publikation: Beiträge in Sammelwerken › Aufsätze in Konferenzbänden › Forschung › Begutachtung

Abstract

This paper explores the application of the Kalman filter algorithm in estimating the true value of stocks in finance. By filtering out noise from stock price data, the Kalman filter provides insights into the intrinsic worth of stocks, aiding investment decision-making. Combining the Kalman filter (KF) with the Rolling Windows technique enhances trading strategies based on market conditions. The study highlights the simplicity and effectiveness of the Kalman filter and suggests future enhancements, such as incorporating financial models and adapting to market volatility. These directions aim to refine the algorithm’s capabilities in capturing complex financial dynamics and improving prediction accuracy in uncertain market environments.

Originalsprache	Englisch
Titel	5th Congress on Intelligent Systems, CIS 2024 : Volume 1
Redakteure/-innen	Sandeep Kumar, E.A. Mary Anita, Joong Hoon Kim, Atulya Nagar
Seitenumfang	12
Herausgeber (Verlag)	Springer Science and Business Media Deutschland
Erscheinungsdatum	27.05.2025
Seiten	309-320
ISBN (Print)	9789819626939
ISBN (elektronisch)	978-981-96-2694-6
DOIs	https://doi.org/10.1007/978-981-96-2694-6_21
Publikationsstatus	Erschienen - 27.05.2025
Veranstaltung	5th Congress on Intelligent Systems - CIS 2024 - Bengaluru, Indien Dauer: 04.09.2024 → 05.09.2024 Konferenznummer: 5

Bibliographische Notiz

Publisher Copyright:
© The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2025.

Fachgebiete und Schlagwörter

Ingenieurwissenschaften

ASJC Scopus Sachgebiete

Steuerungs- und Systemtechnik
Signalverarbeitung
Computernetzwerke und -kommunikation

Zugriff auf Dokument

10.1007/978-981-96-2694-6_21

Dieses zitieren

Kurniawan, S., & Mercorelli, P. (2025). Business Analytics and Making Decision Based on Kalman Filter in Stock Prediction Case. in S. Kumar, E. A. Mary Anita, J. H. Kim, & A. Nagar (Hrsg.), 5th Congress on Intelligent Systems, CIS 2024: Volume 1 (S. 309-320). (Lecture Notes in Networks and Systems; Band 1275). Springer Science and Business Media Deutschland. https://doi.org/10.1007/978-981-96-2694-6_21

Kurniawan, Stephen ; Mercorelli, Paolo. / Business Analytics and Making Decision Based on Kalman Filter in Stock Prediction Case. 5th Congress on Intelligent Systems, CIS 2024: Volume 1. Hrsg. / Sandeep Kumar ; E.A. Mary Anita ; Joong Hoon Kim ; Atulya Nagar. Springer Science and Business Media Deutschland, 2025. S. 309-320 (Lecture Notes in Networks and Systems).

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abstract = "This paper explores the application of the Kalman filter algorithm in estimating the true value of stocks in finance. By filtering out noise from stock price data, the Kalman filter provides insights into the intrinsic worth of stocks, aiding investment decision-making. Combining the Kalman filter (KF) with the Rolling Windows technique enhances trading strategies based on market conditions. The study highlights the simplicity and effectiveness of the Kalman filter and suggests future enhancements, such as incorporating financial models and adapting to market volatility. These directions aim to refine the algorithm{\textquoteright}s capabilities in capturing complex financial dynamics and improving prediction accuracy in uncertain market environments.",

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Kurniawan, S & Mercorelli, P 2025, Business Analytics and Making Decision Based on Kalman Filter in Stock Prediction Case. in S Kumar, EA Mary Anita, JH Kim & A Nagar (Hrsg.), 5th Congress on Intelligent Systems, CIS 2024: Volume 1. Lecture Notes in Networks and Systems, Bd. 1275, Springer Science and Business Media Deutschland, S. 309-320, 5th Congress on Intelligent Systems - CIS 2024, Bengaluru, Indien, 04.09.24. https://doi.org/10.1007/978-981-96-2694-6_21

Business Analytics and Making Decision Based on Kalman Filter in Stock Prediction Case. / Kurniawan, Stephen; Mercorelli, Paolo.
5th Congress on Intelligent Systems, CIS 2024: Volume 1. Hrsg. / Sandeep Kumar; E.A. Mary Anita; Joong Hoon Kim; Atulya Nagar. Springer Science and Business Media Deutschland, 2025. S. 309-320 (Lecture Notes in Networks and Systems; Band 1275).

Publikation: Beiträge in Sammelwerken › Aufsätze in Konferenzbänden › Forschung › Begutachtung

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