500 search results for "trading"

R/Finance 2010: Registration Open

February 5, 2010
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R/Finance 2010: Registration Open

As posted by Dirk Eddelbuettel on R-SIG-Finance: R / Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US The second annual R / Finance conference for applied finance using R, the premier free software system for statistical comput...

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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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Practical Implementation of Neural Network based time series (stock) prediction – PART 2

January 30, 2010
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Practical Implementation of Neural Network based time series (stock) prediction – PART 2

As a brief follow up to the series, I want to take a moment to describe a bit about Weka, which is the machine learning tool that we will be using to implement the neural network. It is a fantastic open source JAVA based tool that was developed at the...

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Practical Implementation of Neural Network based time series (stock) prediction – PART 1

January 29, 2010
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Practical Implementation of Neural Network based time series (stock) prediction  – PART 1

The following introduction is to allow viewers to understand the basic concepts and practical implementation of neural nets towards a financial time series. I will not go too deep into detail about the mathematics behind the neural net at the moment. ...

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LSPM with snow

January 10, 2010
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LSPM with snow

My last post provided examples of how to use the LSPM package. Those who experimented with the code have probably found that constrained optimizations with horizons > 6 have long run-times (when calc.max >= horizon).This post will illustrate how the s...

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Programming a custom Backtest Profile in R

January 6, 2010
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Programming a custom Backtest Profile in R

One of the many issues with systems trading is trying to make sense of the vast amounts of data you accumulate with the backtest of a system. Historical backtesting is the first step in testing your trading idea. If it is a trading idea that ought to w...

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LSPM Examples

January 2, 2010
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LSPM Examples

I have received several requests for additional LSPM documentation over the past couple days and a couple months ago I promised an introduction to LSPM. In this long-overdue post, I will show how to optimize a Leverage Space Portfolio with the LSPM pa...

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R/Finance 2010, April 16-17 in Chicago

December 31, 2009
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Today is the last day to submit abstracts for the R/Finance 2010 conference to be held in Chicago on April 16-17. If you're not planning on speaking, but are interested in applications of R in Finance, be sure to add this to your calendar -- last year's conference was an outstanding event. Here's some more information about the conference...

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RQuantlib

November 23, 2009
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Quantlib is a free library for modeling, trading, and risk management in real-life providing a comprehensive software framework for quantitative finance, it is written in C++, which might be inconvenient for some users. JQuantLib aiming at Java-fans i...

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