Category Archives: Matlab

High Frequency Trading with ADL – JonathanKinlay.com

Trading Technologies’ ADL is a visual programming language designed specifically for trading strategy development that is integrated in the company’s flagship XTrader product. Despite the radically different programming philosophy, my experience of working with ADL has been delightfully easy and … Continue reading

Posted in Algo Design Language, Algorithmic Trading, Futures, High Frequency Trading, Latency, Market Microstructure, Mathematica, Matlab, Order Flow, S&P500 Index, Scalping, Toxic Flow, TradeStation, Trading Technologies | Tagged , , , , , | Comments Off

Can Machine Learning Techniques Be Used To Predict Market Direction? The 1,000,000 Model Test.

During the 1990′s the advent of Neural Networks unleashed a torrent of research on their applications in financial markets, accompanied by some rather extravagant claims about their predicative abilities.  Sadly, much of the research proved to be sub-standard and the … Continue reading

Posted in Direction Prediction, Forecasting, Logit Regression, Machine Learning, Matlab, Modeling, Nearest Neighbor, Neural Networks, Nonlinear Classification, Nonlinear Dynamics, Random Forrests, S&P500 Index, Support Vector Machines | Tagged , , , , , , , | Comments Off

Learning the Kalman Filter

Many people have heard of Kalman filtering, but regard the topic as mysterious. While it’s true that deriving the Kalman filter and proving mathematically that it is “optimal” under a variety of circumstances can be rather intense, applying the filter to a basic linear system is actually very easy. This Matlab file is intended to demonstrate that. Continue reading

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