Tag Archives: markov chains

Predict Stock Market Behavior with Markov Chains and R Video

Predict Stock Market Behavior with Markov Chains and R Video

We apply Markov Chains to map and understand stock-market behavior using the R programming language.

Thanks to Sholom B for identifying this

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Markov Chains explained visually

Markov Chains explained visually

I must say I am humbled to have people in my community who can make others lives more useful. This came from someone on my facebook book so big thanks to them for posting

http://setosa.io/ev/markov-chains/

There are other useful postings here for some other mathematical techniques

http://setosa.io/ev/

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Use Markov Chains for market estimating as unique way to profit!!

Hi this is Brian!

I just wanted to let you know I’ve put up a detailed series of Markov Chain videos and source code in our Premium Membership section.

This resource even features a variety of ways to run Monte Carlo simulations using Markov Chains. These are known as ‘MCMC’ and can be amazingly accurate at prediction. In fact, a local whiz kid recently won a prestigious Intel-sponsored event where he used Markov chains to predict how to build web search results. Could this be the next Google?

And of course Markov Chains are very popular in the world of finance.

They’re specifically used to determine the probability of price movements. And for forecasting and estimating a variety of different market securities too.

However, they’re not yet especially well known in the professional community. To me, that spells “opportunity”!

Get the jump on your quant competition today by learning about Markov Chains right now!


A Premium membership also includes loads of tutorials and software for HFT software platform building. Plus exclusive algorithm courses too!

 

 

Good trading,
Bryan
Quantlabs.net Editor
“Those that know, don’t tell. Until now.”

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Why Markov Chains could be a unique way to forecast the market profitably? Make proprietary models with raw GARCH algos

Why Markov Chains could be a unique way to forecast the market profitably?  Make proprietary models with raw GARCH algos
Hey there
I have finally finished my GARCH in finance forecasting video series. There has got to be a few hours worth for my members. One even included a raw algorithm instead of depending on R packages to get the job done. This one is tougher to work with but has a distinct advantage, you can tweak it to make it profit for you in a proprietary way. This is what makes billionaires. I am nowhere near at the level but my confidence is shooting through the roof with this popular forecasting method.  I have also included further resource references including R source code to make it easier and faster for you to pick up!
I also finally posted another raw algorithm to calculate Markov Chains. Few professional working PHD modelers and researchers  know about this method. It is very effective that a even local whiz kid won the prestigious American Statistical Association

[http://www.redorbit.com/news/science/1112551376/asa_prizes_awarded_at_2012_intel_international_science_and_engineering/ ]
using Markov Chains. Others are using them to profit hugely from the markets. I already posted a video of my R code walkthrough on this.

As a result, you can tell I would love to save you tonnes of time and heart ache in not going down the wrong path with financial model/strategy development. This is why I created my membership. I am also looking for the magic bullets that can  get me to as close as possible to trading profitably in an automated way. If you are wanting to join me and learn more. I am soon starting up my private webinar sessions for members within a few weeks. You should come and join the party.

Thanks for reading
Bryan

Get immediate access to the Membership info  –> here <–
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Source Code R walkthrus of GARCH, AR(1), forecasting, volatility, Monte Carlo, Markov Chains, Dynamic Linear Models coming soon

Source Code R walkthrus of GARCH, AR(1), forecasting, volatility, Monte Carlo, Markov Chains, Dynamic Linear Models coming soon

Are you one of those people who’d rather work smart than work hard

?

 

I have just the solution for you. I’m busily creating recorded code walkthrough videos as we speak. All R code is supplied in each video.

 

You *will* save valuable time. You *will* master key topics much faster than on your own. This gives you more hours to focus on advanced trading strategies designed to actually generate profits.

 

There’s no wasted time or “filler”. Each video averages has intense tutorial instruction.

 

Key topics featured in their own walkthrough include:

 

* Monte Carlo simulations

 

* Stochastic Volatility

 

* Markov Chain

 

* Autoregressive (AR(1)) and GARCH forecasting

 

* Bootstrapping

 

* Dynamic Linear Modeling

 

Remember, you’re not only getting the actual code, but I’m explaining it to you step-by-step. How it works, why it’s done *this* way and not *that* way, the best shortcuts, where else it can be used, and so forth.

 

Get access to the current videos now and be the first to grab the new ones as I post them:

 

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Learn about the rest of Premium benefits including our HFT and Algo Development courses, software tool kits, and more!

 

–>

http://quantlabs.net/quant-member-benefits/

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Good trading,

 

Bryan

 

P.S. If you’re not familiar, R is totally free as it’s open source. You don’t need expensive proprietary software packages to work with it. Volatility forecasting, pairs trading, cointegration, estimating, simulation, and much more. It’s all coming ASAP!

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant analytics: continuous time markov chains as applied to asset pricing (order book). Any knowledge/experience?

Quant analytics: continuous time markov chains as applied to asset pricing (order book). Any knowledge/experience?

Starting to look at continuous time markov chains as applied to asset pricing (order book). Does anyone have any knowledge/experience in this area?
==

I was recently exploring this:
This paper merges the literature on technical trading rules with the literature on Markovswitching to develop economically useful trading rules. The Markovmodels’ out-of-sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample. A portfolio of Markov and standard technical rules outperforms either set individually, on a risk-adjusted basis. The Markov rules’ high excess returns contrast with mixed performance on statistical tests of forecast accuracy. There is no clear source for the trends, but permitting the mean to depend on higher moments of the exchange rate distribution modestly increases returns.
http://www.sciencedirect.com/science/article/pii/S037842660600166X
Don’t buy the article. Google the title.
On a side note, aren’t candlestick patterns Markov chains as their current state influences the probability of the next state?
If you consider, for example a 3 bar moving-window as a single state, then there are known 3 bar patterns with fixed probabilities for predicting the next state.

 

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!