76 citations · 108 across the 5 of their papers we have counts for
5 papers
Mathematically equivalent approaches for equality constrained Kalman Filtering
Nachi Gupta
Kalman Filtering problems often have inherent and known constraints in the physical dynamics that are not exploited despite potentially significant gains (e.g., fixed speed of a mo…
Kalman Filtering with Equality and Inequality State Constraints
Nachi Gupta, Raphael Hauser
Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address -- however, constraints are rarely exploited fo…
Inferring the Composition of a Trader Population in a Financial Market
Nachi Gupta, Raphael Hauser, Neil F. Johnson
We discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strat…
Kalman Filtering in the Presence of State Space Equality Constraints
Nachi Gupta
We discuss two separate techniques for Kalman Filtering in the presence of state space equality constraints. We then prove that despite the lack of similarity in their formulations…
Using Artificial Market Models to Forecast Financial Time-Series
Nachi Gupta, Raphael Hauser, Neil F. Johnson
We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach…