Permutation And Randomization Tests For Trading System Development
DOWNLOAD
Download Permutation And Randomization Tests For Trading System Development PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Permutation And Randomization Tests For Trading System Development book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Permutation And Randomization Tests For Trading System Development
DOWNLOAD
Author : Timothy Masters
language : en
Publisher:
Release Date : 2020-02-12
Permutation And Randomization Tests For Trading System Development written by Timothy Masters and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-12 with categories.
This book provides the trading system developer with a powerful set of statistical tools for measuring vital aspects of performance that are ignored by most developers. All algorithms include intuitive justification, basic theory, all relevant equations, and highly commented C++ code for complete programs that run in a Windows Command Console. Reprogramming them in other languages should be easy, given the detailed explanations of each algorithm. The following topics are covered: Testing for overfitting at the earliest possible stage Evaluating the luckiness-versus-skill of a fully developed system before deploying it Testing the effectiveness and reliability of a trading system factory Removing selection bias when screening a large number of indicators Probability bounds for future mean returns Bounding typical and catastrophic future drawdowns Is the best indicator or model in a competition truly the best, or just the luckiest? Which markets provide truly superior profits for your trading system? What holding time for your system provides the best risk/return performance?
Modern Data Mining Algorithms In C And Cuda C
DOWNLOAD
Author : Timothy Masters
language : en
Publisher: Apress
Release Date : 2020-06-05
Modern Data Mining Algorithms In C And Cuda C written by Timothy Masters and has been published by Apress this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-05 with Computers categories.
Discover a variety of data-mining algorithms that are useful for selecting small sets of important features from among unwieldy masses of candidates, or extracting useful features from measured variables. As a serious data miner you will often be faced with thousands of candidate features for your prediction or classification application, with most of the features being of little or no value. You’ll know that many of these features may be useful only in combination with certain other features while being practically worthless alone or in combination with most others. Some features may have enormous predictive power, but only within a small, specialized area of the feature space. The problems that plague modern data miners are endless. This book helps you solve this problem by presenting modern feature selection techniques and the code to implement them. Some of these techniques are: Forward selection component analysis Local feature selection Linking features and a target with a hidden Markov model Improvements on traditional stepwise selection Nominal-to-ordinal conversion All algorithms are intuitively justified and supported by the relevant equations and explanatory material. The author also presents and explains complete, highly commented source code. The example code is in C++ and CUDA C but Python or other code can be substituted; the algorithm is important, not the code that's used to write it. What You Will Learn Combine principal component analysis with forward and backward stepwise selection to identify a compact subset of a large collection of variables that captures the maximum possible variation within the entire set. Identify features that may have predictive power over only a small subset of the feature domain. Such features can be profitably used by modern predictive models but may be missed by other feature selection methods. Find an underlying hidden Markov model that controls the distributions of feature variables and the target simultaneously. The memory inherent in this method is especially valuable in high-noise applications such as prediction of financial markets. Improve traditional stepwise selection in three ways: examine a collection of 'best-so-far' feature sets; test candidate features for inclusion with cross validation to automatically and effectively limit model complexity; and at each step estimate the probability that our results so far could be just the product of random good luck. We also estimate the probability that the improvement obtained by adding a new variable could have been just good luck. Take a potentially valuable nominal variable (a category or class membership) that is unsuitable for input to a prediction model, and assign to each category a sensible numeric value that can be used as a model input. Who This Book Is For Intermediate to advanced data science programmers and analysts.
Testing And Tuning Market Trading Systems
DOWNLOAD
Author : Timothy Masters
language : en
Publisher: Apress
Release Date : 2018-10-26
Testing And Tuning Market Trading Systems written by Timothy Masters and has been published by Apress this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-26 with Computers categories.
Build, test, and tune financial, insurance or other market trading systems using C++ algorithms and statistics. You’ve had an idea and have done some preliminary experiments, and it looks promising. Where do you go from here? Well, this book discusses and dissects this case study approach. Seemingly good backtest performance isn't enough to justify trading real money. You need to perform rigorous statistical tests of the system's validity. Then, if basic tests confirm the quality of your idea, you need to tune your system, not just for best performance, but also for robust behavior in the face of inevitable market changes. Next, you need to quantify its expected future behavior, assessing how bad its real-life performance might actually be, and whether you can live with that. Finally, you need to find its theoretical performance limits so you know if its actual trades conform to this theoretical expectation, enabling you to dump the system if it does not liveup to expectations. This book does not contain any sure-fire, guaranteed-riches trading systems. Those are a dime a dozen... But if you have a trading system, this book will provide you with a set of tools that will help you evaluate the potential value of your system, tweak it to improve its profitability, and monitor its on-going performance to detect deterioration before it fails catastrophically. Any serious market trader would do well to employ the methods described in this book. What You Will Learn See how the 'spaghetti-on-the-wall' approach to trading system development can be done legitimately Detect overfitting early in development Estimate the probability that your system's backtest results could have been due to just good luck Regularize a predictive model so it automatically selects an optimal subset of indicator candidates Rapidly find the global optimum for any type of parameterized trading system Assess the ruggedness of your trading system against market changes Enhance the stationarity and information content of your proprietary indicators Nest one layer of walkforward analysis inside another layer to account for selection bias in complex trading systems Compute a lower bound on your system's mean future performance Bound expected periodic returns to detect on-going system deterioration before it becomes severe Estimate the probability of catastrophic drawdown Who This Book Is For Experienced C++ programmers, developers, and software engineers. Prior experience with rigorous statistical procedures to evaluate and maximize the quality of systems is recommended as well.
Statistically Sound Machine Learning For Algorithmic Trading Of Financial Instruments
DOWNLOAD
Author : David Aronson
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2013
Statistically Sound Machine Learning For Algorithmic Trading Of Financial Instruments written by David Aronson and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Algorithmus categories.
This book serves two purposes. First, it teaches the importance of using sophisticated yet accessible statistical methods to evaluate a trading system before it is put to real-world use. In order to accommodate readers having limited mathematical background, these techniques are illustrated with step-by-step examples using actual market data, and all examples are explained in plain language. Second, this book shows how the free program TSSB (Trading System Synthesis & Boosting) can be used to develop and test trading systems. The machine learning and statistical algorithms available in TSSB go far beyond those available in other off-the-shelf development software. Intelligent use of these state-of-the-art techniques greatly improves the likelihood of obtaining a trading system whose impressive backtest results continue when the system is put to use in a trading account. Among other things, this book will teach the reader how to: Estimate future performance with rigorous algorithms Evaluate the influence of good luck in backtests Detect overfitting before deploying your system Estimate performance bias due to model fitting and selection of seemingly superior systems Use state-of-the-art ensembles of models to form consensus trade decisions Build optimal portfolios of trading systems and rigorously test their expected performance Search thousands of markets to find subsets that are especially predictable Create trading systems that specialize in specific market regimes such as trending/flat or high/low volatility More information on the TSSB program can be found at TSSBsoftware dot com.
Data Mining For Bioinformatics Applications
DOWNLOAD
Author : He Zengyou
language : en
Publisher: Woodhead Publishing
Release Date : 2015-06-09
Data Mining For Bioinformatics Applications written by He Zengyou and has been published by Woodhead Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-09 with Computers categories.
Data Mining for Bioinformatics Applications provides valuable information on the data mining methods have been widely used for solving real bioinformatics problems, including problem definition, data collection, data preprocessing, modeling, and validation. The text uses an example-based method to illustrate how to apply data mining techniques to solve real bioinformatics problems, containing 45 bioinformatics problems that have been investigated in recent research. For each example, the entire data mining process is described, ranging from data preprocessing to modeling and result validation. - Provides valuable information on the data mining methods have been widely used for solving real bioinformatics problems - Uses an example-based method to illustrate how to apply data mining techniques to solve real bioinformatics problems - Contains 45 bioinformatics problems that have been investigated in recent research
Tv White Space Spectrum Technologies
DOWNLOAD
Author : Rashid Abdelhaleem Saeed
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Tv White Space Spectrum Technologies written by Rashid Abdelhaleem Saeed and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Computers categories.
Although sophisticated wireless radio technologies make it possible for unlicensed wireless devices to take advantage of un-used broadcast TV spectra, those looking to advance the field have lacked a book that covers cognitive radio in TV white spaces (TVWS). Filling this need, TV White Space Spectrum Technologies: Regulations, Standards and Applic
Rc4 Stream Cipher And Its Variants
DOWNLOAD
Author : Goutam Paul
language : en
Publisher: CRC Press
Release Date : 2011-11-16
Rc4 Stream Cipher And Its Variants written by Goutam Paul and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-16 with Computers categories.
RC4 Stream Cipher and Its Variants is the first book to fully cover the popular software stream cipher RC4. With extensive expertise in stream cipher cryptanalysis and RC4 research, the authors focus on the analysis and design issues of RC4. They also explore variants of RC4 and the eSTREAM finalist HC-128. After an introduction to the vast field of cryptology, the book reviews hardware and software stream ciphers and describes RC4. It presents a theoretical analysis of RC4 KSA, discussing biases of the permutation bytes toward secret key bytes and absolute values. The text explains how to reconstruct the secret key from known state information and analyzes the RC4 PRGA in detail, including a sketch of state recovery attacks. The book then describes three popular attacks on RC4: distinguishing attacks, Wired Equivalent Privacy (WEP) protocol attacks, and fault attacks. The authors also compare the advantages and disadvantages of several variants of RC4 and examine stream cipher HC-128, which is the next level of evolution after RC4 in the software stream cipher paradigm. The final chapter emphasizes the safe use of RC4. With open research problems in each chapter, this book offers a complete account of the most current research on RC4.
Mathematics And Computation
DOWNLOAD
Author : Avi Wigderson
language : en
Publisher: Princeton University Press
Release Date : 2019-10-29
Mathematics And Computation written by Avi Wigderson and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-29 with Computers categories.
From the winner of the Turing Award and the Abel Prize, an introduction to computational complexity theory, its connections and interactions with mathematics, and its central role in the natural and social sciences, technology, and philosophy Mathematics and Computation provides a broad, conceptual overview of computational complexity theory—the mathematical study of efficient computation. With important practical applications to computer science and industry, computational complexity theory has evolved into a highly interdisciplinary field, with strong links to most mathematical areas and to a growing number of scientific endeavors. Avi Wigderson takes a sweeping survey of complexity theory, emphasizing the field’s insights and challenges. He explains the ideas and motivations leading to key models, notions, and results. In particular, he looks at algorithms and complexity, computations and proofs, randomness and interaction, quantum and arithmetic computation, and cryptography and learning, all as parts of a cohesive whole with numerous cross-influences. Wigderson illustrates the immense breadth of the field, its beauty and richness, and its diverse and growing interactions with other areas of mathematics. He ends with a comprehensive look at the theory of computation, its methodology and aspirations, and the unique and fundamental ways in which it has shaped and will further shape science, technology, and society. For further reading, an extensive bibliography is provided for all topics covered. Mathematics and Computation is useful for undergraduate and graduate students in mathematics, computer science, and related fields, as well as researchers and teachers in these fields. Many parts require little background, and serve as an invitation to newcomers seeking an introduction to the theory of computation. Comprehensive coverage of computational complexity theory, and beyond High-level, intuitive exposition, which brings conceptual clarity to this central and dynamic scientific discipline Historical accounts of the evolution and motivations of central concepts and models A broad view of the theory of computation's influence on science, technology, and society Extensive bibliography
Introduction To Property Testing
DOWNLOAD
Author : Oded Goldreich
language : en
Publisher: Cambridge University Press
Release Date : 2017-11-23
Introduction To Property Testing written by Oded Goldreich and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-23 with Computers categories.
An extensive and authoritative introduction to property testing, the study of super-fast algorithms for the structural analysis of large quantities of data in order to determine global properties. This book can be used both as a reference book and a textbook, and includes numerous exercises.
Handbook Of Artificial Intelligence And Robotic Process Automation
DOWNLOAD
Author : Al Naqvi
language : en
Publisher:
Release Date : 2020-11-27
Handbook Of Artificial Intelligence And Robotic Process Automation written by Al Naqvi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-27 with Artificial intelligence categories.
President Putin's explicit declaration that the country that makes progress in artificial intelligence will rule the world has launched a new race for dominance. In this era of cognitive competition and total automation, every country understands that it must rapidly adopt AI or go bust. To stay competitive a country must have a strategy. But how should a government proceed? What areas it must focus on? Where should it even start? This book provides answers to these important, yet pertinent, questions and more. Presenting the viewpoints of global experts and thought leaders on key issues relating to AI and government policies, this book directs us to the future.