Hi Hugin, Most state based models that I've worked with or find in literature/internet fall into the 1st description; i.e. conditional gating...
The same problem persists when discussing things like markov chains. Plenty of people have a keen interest in hidden markov models, without...
There are several well-known methods available to avoid overfit; regularization and introducing complexity penalties into the fitness function...
Wal-Mart slashing ipad/ipod prices... http://money.cnn.com/2012/12/14/technology/mobile/walmart-apple-iphone-ipad-sale/index.html?iid=HP_LN&hpt=hp_t3
A slightly different angle to ponder if you will... One of the things I distinctly recall about the crash of 08, is that it was preceded by...
Just to clarify... ARIMA can model non stationary series. Hence, the I=Integrated in AR-I-MA.
One of the best.:) http://www.amazon.com/Financial-Modeling-Simon-Benninga/dp/0262026287/ref=sr_1_1?s=books&ie=UTF8&qid=1351824005&sr=1-1
The idea is that you are generating sequences of random binary signals over the duration of the asset you want to compare your own signals to. The...
I'd love to see a cogent thread... unfortunately, there are few who want to contribute any actual work... :( Dozens of books. I often...
Excel. =IF(NORMSINV(RAND())>=0,1,-1) Run many times will give a sampling distribution of signals to compare. It makes more sense to run...
My personal experience has been that nothing is obvious except for hindsight and maybe inside information. But that's just me.
nice job.:) Appears very clean with good font choice, IMO. Green color highlight fonts kind of clash though; maybe darker?
R About only advantage to matlab is some signal processing support-- but, R has huge support and development behind it as well as financial...
You can look into stepwise regression.
I was hoping for a more statistical assessment. Other than giving a few examples, it would be nice to see a collection of statistics related to...
I think it's a good endeavor. One thing I've observed, however, is HL order tends to be efficient for reasonably long samples. Have your...
Do you know if they provide any kind of historical database of the information? TIA
http://www.r-project.org/ Do you have all of the back adjusted contract data for his examples (40 yrs or max)? What source are you using to...
It can be done in R. If you want them to line up as in his illustrations, you have to be careful how you want to handle rescaling the real...
Hi Craig, From your example, I think you are asking for relative adjacent returns? try : library(quantmod) x<-c(1,2,3,6) 100*Delt(x)...
Separate names with a comma.