Blog Archives

Time Series Calendar Heat Maps Using R

February 22, 2010
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Time Series Calendar Heat Maps Using R

I came across an interesting blog that showcased Charting time series as calendar heat maps in R . It is based upon a great algorithm created by Paul Bleicher,CMO of Humedica. I'll let you link to the other blog to see more details on the background ...

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Genetic Algorithm Systematic Trading Development — Part 3 (Python/VBA)

February 20, 2010
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Genetic Algorithm Systematic Trading Development — Part 3  (Python/VBA)

As mentioned in prior posts, it is not possible to use the standard Weka GUI to instantiate a Genetic Algorithm, other than for feature selection. Part of the reason is that there is no generic algorithm to instantiate a fitness function. The same fl...

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Genetic Algorithm Systematic Trading Development– Part 2

February 17, 2010
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Genetic Algorithm Systematic Trading Development– Part 2

We started by discussing the goal of a genetic algorithm, which is to optimally find the candidate pool of rules that are superior to other potential rules. In our example of moving averages, we are seeking the values of parameters of the rule :if ma(...

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Genetic Algorithm Systematic Trading Development — Part 1

February 15, 2010
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Genetic Algorithm Systematic Trading Development — Part 1

I want to start with a brief introduction to what I consider one of the most powerful learning methodologies to come out of Artificial Intelligence in the last several decades-- the Genetic Algorithm. Although it was originally developed to model evol...

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Artificial Immune Systems and Financial Applications?

February 11, 2010
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Artificial Immune Systems and Financial Applications?

One of the buzzwords that seems to be common these days is AIS or Artificial Immune Systems. It is a biologically inspired classification type system that essentially tries to replicate some of our own natural immune system algorithms. Our bodies hav...

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Using J48 Decision Tree Classifier to Dynamically Allocate Next Day Position in Stocks or Bonds

February 11, 2010
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Using J48 Decision Tree Classifier to Dynamically Allocate Next Day Position in Stocks or Bonds

The prior introduction using a simple model to determine next weeks change based on the S&P 500 index and VIX did not look very promising, although hopefully it served to familiarize yourself with how classification is used in augmenting trading decisi...

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Classification for stock directional prediction

February 8, 2010
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Classification for stock directional prediction

The neural network tutorial focused on a type of method known as regression. The other common method utilized in machine learning is called classification. The two approaches are somewhat similar in that they identify the best possible curve to learn...

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Practical Implementation of Neural Network based time series (stock) prediction -PART 5

February 7, 2010
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Practical Implementation of Neural Network based time series (stock) prediction  -PART 5

Following is an example of what it looks like to predict an actual univariate price series. The period of the signal that was sampled was already in stationary form, so not much massaging was needed other than normalization (described earlier).What's ...

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Practical Implementation of Neural Network based time series (stock) prediction -PART 4

February 4, 2010
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Practical Implementation of Neural Network based time series (stock) prediction  -PART 4

Consider this an introduction to how we need to pre-process the data.I mentioned earlier that a financial time series is typically a unit root or non-stationary signal, what this means is that if you sample statistical properties over time, they will o...

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Practical Implementation of Neural Network based Time Series (Stock) Prediction – PART 3

February 1, 2010
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Practical Implementation of Neural Network based Time Series (Stock) Prediction – PART 3

Ok, now that we have seen how well the perfect sine wave signal was learned, let's turn it up a notch and see how well the complex sine wave was learned.Fig 1. Summary of Actual Vs. Predicted out of sample complex sine waveformUh Oh. What happened, the...

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