The Application of Systems Science and Electrical Engineering Topics in Quantitative Finance
Desmond Robert Duggan, Andrew Clayton Hess · 2013
Mathematical concepts in systems science and electrical engineering are applied to quantitative finance. Topics explored include moving averages, Wiener Filtering, Kalman Filtering, and linear prediction. Algorithms making use of these topics are devised for the purpose of creating an automated trading strategy to maximize net profit. Trading simulations are executed in the Python programming language.