Intelligent Trading

Recently, I participated in a Kaggle contest sponsored by Winton Capital. The contest provided various market related data and asked participants to predict intraday and next two day return fore...

http://intelligenttradingtech.blogspot.com/2016/01/kaggle-winton-stock-market-challenge.html

Fig 1. Machine Learning: An Algorithmic Perspective. 2nd Edition. Stephen Marsland    I just wanted to briefly share some initial impressions of the 2nd edition of Stephen Marsland's very...

http://intelligenttradingtech.blogspot.com/2015/04/review-machine-learning-algorithmic.html

Fig 1. Vioplot  of IBS filtered next day returns on SPY.                  Fig 2. Table of Summary of Results for rtn.tom vs. IBS.class (H,L,M)        A colleagu...

http://intelligenttradingtech.blogspot.com/2013/04/ibs-stingray-reversion-intuition-using.html

                                          This is just a very short comment related to discussions I've been having with a friend about trend following...

http://intelligenttradingtech.blogspot.com/2013/03/is-cta-trend-following-dead.html

Happy New Years to readers; my resolution this year is to continue delivering thoughts and ideas to others in the hopes that we all might be able to benefit somewhat from sharing observations. I'...

http://intelligenttradingtech.blogspot.com/2013/01/ibs-reversion-edge-with-quantshare.html

      I've added a recently released book to my list of recommendations (at the amazon carousel to the right), as I've reviewed a copy provided to me via Springer Publishers. The book is R fo...

http://intelligenttradingtech.blogspot.com/2012/10/book-review-r-for-business-analytics.html

If you have any interest in data mining and machine learning, you might have already caught the Kaggle bug. I myself fairly recently got caught up in following the various contests and forums a...

http://intelligenttradingtech.blogspot.com/2012/08/the-kaggle-bug.html

I've been following the myriad circus of Facebook commentators and bystanders pointing to its horrific failed IPO launch and seemingly inevitable crash to zero. While my focus here isn't really s...

http://intelligenttradingtech.blogspot.com/2012/05/facebook-doomsday-watch.html

I happened to be looking over a revised text of a systems author I happen to follow. I will be a bit vague about specifics, as the system itself is based on well known ideas, but I'll leave the r...

http://intelligenttradingtech.blogspot.com/2012/02/expanding-visualization-of-published.html

There was a lot of buzz in the blogosphere as well as the science community about a new family of algorithms that are able to find non-linear relationships over extremely large fields of data. W...

http://intelligenttradingtech.blogspot.com/2012/01/there-was-lot-of-buzz-in-blogosphere-as.html

Happy New Year to all the viewers of this blog and just a short reminder that the course will be available again this January. http://www.ml-class.org/course/auth/welcome Having audited the co...

http://intelligenttradingtech.blogspot.com/2012/01/free-auditing-of-stanford-ai-and.html

Just wanted to notify viewers of a few great courses that are being offered free for auditing and/or participation by well known industry experts, including co-author of the classic text on AI, '...

http://intelligenttradingtech.blogspot.com/2011/10/free-auditing-of-stanford-ai-and.html

There are many visual methods used to identify patterns in space and time. I've discussed some in prior threads and will show a few others briefly here. One of the most difficult questions I ofte...

http://intelligenttradingtech.blogspot.com/2011/10/spatiotemporal-data-mining-2.html

I won't spend too much time discussing this fascinating topic other than to say it relates very much to prior discussions about pattern discovery via visual data mining (see lexical dispersion pl...

http://intelligenttradingtech.blogspot.com/2011/09/arc-diagram-and-spatiotemporal-data.html

Today's financial headlines are littered with the word 'plunge.'  Considering today's (cl-cl) drop on the S&P500 was just about -5%, I don't know that I would exactly call that a plunge.  ...

http://intelligenttradingtech.blogspot.com/2011/08/aug-4-2011-plunge-headlines-are-in-air.html

Although the following discussion can apply to the Quantitative Candlestick Pattern Recognition series, it is addressing the same issue as any basic conditional type system -- how and when to exi...

http://intelligenttradingtech.blogspot.com/2011/07/pattern-recognition-forward-boxplot.html

The following script allows you to simulate sample runs of Win, Loss, Breakeven streaks based on a random distribution, using the run length encoding function, rle in R. Associated probabilities ...

http://intelligenttradingtech.blogspot.com/2011/05/simulating-winloss-streaks-with-r-rle.html

Nothing unusually exciting on this post, but I happened to be engaged in some particle based methods recently and made some simple visual observations as I was setting up some of the sampling env...

http://intelligenttradingtech.blogspot.com/2011/05/high-low-clustering-on-intraday-sampled.html

Firstly, apologies for the long absence as I've been busy with a few things.  Secondly, apologies for the horrific use of caps in the title (for the grammar monitors).  Certainly, you'll gain s...

http://intelligenttradingtech.blogspot.com/2011/03/can-one-beat-random-walk-impossible-you.html

I've been a bit busy lately with a few big things, however, I wanted to stop by and mention a fantastic book for those who have been following along the R examples.  Anyone who's followed my blo...

http://intelligenttradingtech.blogspot.com/2010/11/finally-practical-r-book-on-data-mining.html

Here is a brief and simple example of switching systems based upon regime type (sometimes called gating). I've brought up the idea of conditioning systems based upon regimes many times in past...

http://intelligenttradingtech.blogspot.com/2010/08/conditioning-systems-on-regime.html

I wanted to briefly add one more thought regarding the temporal nature of probabilities as was alluded to in my correspondence with Adam, as well as the prior closing comments on the Chaos post ...

http://intelligenttradingtech.blogspot.com/2010/08/quantitative-candlestick-pattern.html

Over the years I've had quite a few interested individuals ask me about Chaos and its applications towards trading. Well, as hidden markov models and speech processing were made popular by James ...

http://intelligenttradingtech.blogspot.com/2010/07/chaos-in-financial-markets.html

Fig 1. Clustering based approach to candlestick Pattern Recognition. I've been reading a book titled, 'the Quants,' that I'm sure will tantalize many traders with some of the ideas embedde...

http://intelligenttradingtech.blogspot.com/2010/06/quantitative-candlestick-pattern.html

Every now and then I come across a tool that is so bogged down in pages of esoteric mathematical calculations, it becomes difficult to get even a simple grasp of how or why they might be useful. ...

http://intelligenttradingtech.blogspot.com/2010/05/kalman-filter-for-financial-time-series.html