Harvey, A. C. Forecasting, Structural Time Series Model and the Kalman Filter.
(Cambridge, UK. Cambridge University Press, 1991).
Variance Calculation
Ismail, Malik Magdon and Amir Atiya. “A Maximum Likelihood Approach to Vari-
ance Estimation for a Brownian Motion Using the High Low and Close.” Quan-
titative Finance(forthcoming).
Rogers, L. and S. Satchell. “Estimating Variance from High Low and Closing
Prices.”Annals of Applied Probability1, no. 4 (1991): 504–512.
Rogers, L., S. Satchell and Y. Yoon. “Estimating the Volatility of Stock Prices: A
Comparison of Methods That Use High and Low Prices.” Applied Financial
Economics4 (1994): 241–247.
Fibonacci Series
Huntley, H. E. The Divine Proportion: A Study in Mathematical Beauty. (New York:
Dover Publications, 1970).
Fischer, Robert. Fibonacci Applications and Strategies for Traders. (New York: John
Wiley & Sons, Inc., 1993).
68 BACKGROUND MATERIAL