# OHLC prices after filtering

Assume we have minute-bars of OHLC stock prices. Then, applying Kalman filter to those prices separately, we can remove a measurement noise and obtain the estimates of the states of the price processes.

The observations is: after Kalman filtering, some high prices become smaller than low prices. Can it cause some problems?

In my opinion, it is not a problem. In a feature creation after filtering, it it happens that $$High < Low$$ then I would just flip them.

• You haven't explained the purpose of the Kalman filter. – Brian O'Donnell Dec 20 '19 at 14:49
• It is more common to use the closing price. This will avoid the problem you are seeing. – Brian O'Donnell Dec 20 '19 at 15:27
• I would like to use all prices in the bar – ABK Dec 20 '19 at 15:28