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Home Posts Tagged "Machine Learning"

JonathanGenetic Programming, Machine Learning, Portfolio Construction, Portfolio Theory, Systematic StrategiesAlgorithmic Trading, Equity Portfolios, Genetic Programming, Machine Learning, Portfolio Theory, Quantitative Equity Strategy

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JonathanAlgorithmic Trading, Machine Learning, Mathematica, News Trading, Sentiment Analysis, Text Mining2 commentsAlgorithmic Trading, Classifier, Machine Learning, Machine Readable News, Mathematica, News, News Trading Algorithms, S&P 500 Index, Sentiment, Text Analysis

Text and sentiment analysis has become a very popular topic in quantitative research over the last decade, with applications ranging from market research and political science, to e-commerce. In this post I am going to outline an approach to the subject, together with some core techniques, that have applications in investment strategy. In the early days of the…

JonathanDynamic Time Warping, Economics, ETFs, Forecasting, Machine Learning, Mathematica, Modeling, Productivity, SPY, Wiener Process1 commentCorrelation, Difference Measures, Drift, Dynamic Time Warping, Economics, ETF, Forecasting, Machine Learning, Market Outlook, Mathematica, Productivity, SPY, Wiener Process

History does not repeat itself, but it often rhymes – Mark Twain You certainly wouldn’t know it from a reading of the CBOE S&P500 Volatility Index (CBOE:VIX), which printed a low of 11.44 on Friday, but there is a great deal of uncertainty about the prospects for the market as we move further into the…

JonathanETFs, Machine Learning, Nearest Neighbor, Neural Networks, Out-Of-Hours Trading, Random Forrests, SPY, Support Vector Machines, Systematic Strategies, Trading Systems1 commentGenetic Programming, Machine Learning, Nearest Neighbor, Neural Networks, Random Forest, SPY, Trading Systems

The SPDR S&P 500 ETF (SPY) is one of the widely traded ETF products on the market, with around $200Bn in assets and average turnover of just under 200M shares daily. So the likelihood of being able to develop a money-making trading system using publicly available information might appear to be slim-to-none. So, to give ourselves…

Spending 12-14 hours a day managing investors’ money doesn’t leave me a whole lot of time to sit around watching TV. And since I have probably less than 10% of the ad-tolerance of a typical American audience member, I inevitably turn to TiVo, Netflix, or similar, to watch a commercial-free show. Which means that I…

JonathanGenetic Programming, Machine Learning, Systematic Strategies, Trading RuleGenetic Programming, Machine Learning, Systematic Trading, Trading Rules

Posted by androidMarvin: Genetic programming is an approach to letting the computer generate its own program code, rather than have a person write the program. It doesn’t specifically “find patterns” or rules within data structures. It starts with a number of randomly-constructed (as long as they are mathematically valid) sample programs, evaluates how close each…

JonathanDirection Prediction, Forecasting, Logit Regression, Machine Learning, Matlab, Modeling, Nearest Neighbor, Neural Networks, Nonlinear Classification, Nonlinear Dynamics, Random Forrests, S&P500 Index, Support Vector MachinesDirection Prediction, Forecasting, Machine Learning, Nearest Neighbor, Neural Networks, Nonlinear Classification, Random Forrests, Support Vector Machines

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 results illusionary, following which the topic was largely relegated to the bleachers, at least in…

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