Tag Archives: Monte Carlo

Bitcoin price forecasting using Monte Carlo simulation with forex analysis

Bitcoin price forecasting using Monte Carlo simulation with forex analysis

Somebody did an analysis on forecasting the price of Bitcon. They use Monte Carlo simulations to accomplish but you should say see the results here.

https://quantlabs.net/blog/2018/01/bitcoin-price-forecasting-using-monte-carlo-simulation/

As for me, I have pinpointed all the monster simulated forex trades over the last 2 months using my strategy deployed using Dukascopy JForex. I am hoping to analyze deeply what is causing the pricing patterns before these large profitable trades It seems this simple analysis does not need to be processed by some highly educated person, nor a high priced quant. It is simple programming logic that leads me to be believe using programming logs without the need of advanced math and machine learning techniques. Go figure huh?

Thanks Bryan

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Zero-Math Intro Reference to Markov Chain Monte Carlo Machine Learning Approximating Method

Zero-Math Intro Reference to Markov Chain Monte Carlo Machine Learning Approximating Methods Non complicated formulas to look at in this article
This is the ABSOLUTE LAST CHANCE to get my 3 course combo. A few more will be on the way including topics on algo crypto algo trading and machine learning in the early months of 2018!

NOTE that I have set to end this promotion this Friday (in 2 days)

I have this all explained in this video below

You can learn about:

  1. Python Algo Trading Infrastructure Building Blocks
  2. Interactive Blocks API Bootcamp Workshop
  3. Futures/Options Fundamentals with Source Code

 

FINAL offer for all my quant algo trading courses for under 1K
 Anyway my 18K in May 2017 is now 140K so I am not complaining…

Join here and More info: http://quantlabs.net/mkt/quant-elite-v2/
Further details:
https://quantlabs.net/blog/2017/12/final-offer-for-3-algo-trading-courses-under-1000/

You get this combo info right now for the next few days here 

 

–> GET IT IMMEDIATELY BY CLICKING HERE 

Note: The online marketing efforts will start next week targeting $500K> annual income active traders This means this pricing combo will go up to $2800 immediately after this sale. As more content gets added, you can expect it to further up to $4000 early next year in 2018!

As a result, this is the ABSOLUTE last chance you will get this deal under $1000. It is now or never!

 

Query and reference:

I am a non profesional trader of futures (mini sp, …) and I use interactive brokers-TWS.

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Zero-Math Intro Reference to Markov Chain Monte Carlo Machine Learning Approximating Methods

Zero-Math Intro Reference to Markov Chain Monte Carlo Machine Learning Approximating Methods

Non complicated formulas to look at in this article

https://towardsdatascience.com/a-zero-math-introduction-to-markov-chain-monte-carlo-methods-dcba889e0c50

 

 

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Simple Monte Carlo With Extra Thrust?

Simple Monte Carlo With Extra Thrust?

Never heard of this library until now. A parallel algo library for C++ STL in Linux?

http://blog.quanttrader.org/simple-monte-carlo-with-thrust/?utm_source=twitterfeed&utm_medium=twitter

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Any hedge fund or bank institutions using open source C++ QuantLib for pricing options engine or Monte Carlo simulation?

Any hedge fund or bank institutions using open source C++ QuantLib for pricing options engine or Monte Carlo simulation?

I watched a recent low level FPGA video on HFT shop using this, I am wanting to hear from others to understand who is using this

http://quantlib.org/index.shtml

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MCMC Markov Chain Monte Carlo demos with Matlab

MCMC Markov Chain Monte Carlo demos with Matlab

Here is the toolbox framework link http://helios.fmi.fi/~lainema/mcmc/examples.html

Join my Quant Elite membership to access to the other Matlab script

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References for MCMC Markov Chain Monte Carlo Simulation for Matlab

Reference for MCMC Markov Chain Monte Carlo Simulation for Matlab

Hoestly, the help systems of Matlab does not specifially point to any resources so I decided to research some of these below

I am now looking at MCMC Markov Chain Monte Carlo Simulation for Matlab. This is a widely respected way of doing market analysis so here are some links:

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http://www2.math.su.se/matstat/und/bayes/pdf/Lab1eng.pdf <– some basic Maltab sample code as set up as tutorial

http://www.cs.ubc.ca/~murphyk/Teaching/CS340-Fall06/reading/mcmc.pdf <–somewhat advanced but has some decent code with function examples

https://www.msu.edu/~blackj/Scan_2003_02_12/Chapter_11_Markov_Chain_Monte_Carlo_Methods.pdf <–decent explanation with source code examples (no data source)

http://www.mathworks.com/products/statistics/code-examples.html;jsessionid=cb37a085985635731a702db4271d?file=/products/demos/shipping/stats/bayesdemo.html <–the slice sampler is an MCMC algorithm but will use Bayes in future demos

http://helios.fmi.fi/~lainema/mcmc/ <– best self contained framework with no external toolboxes needed

http://helios.fmi.fi/~lainema/mcmc/examples.html <–this contains the best real world example with http://helios.fmi.fi/~lainema/mcmc/ex/normalex.html

I confirmed it worked!

http://www.math.wsu.edu/faculty/genz/416/lect/l10-4.pdf <–scant explanation with code

http://matriisi.ee.tut.fi/courses/MAT-52500/part_II_lecture_6.pdf <– decent Powerpoint but not no example source code

Specific for finance:

http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf <- specific options/portfolio examples provided with source

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964923 <- need to register at SSRN

http://stanfordphd.com/Markov_Chain_Monte_Carlo.html <– no specific code examples

http://homepages.inf.ed.ac.uk/imurray2/teaching/09mlss/slides.pdf <– easy to consumer Powerpoint slides with some code

https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&cad=rja&uact=8&ved=0CFsQFjAF&url=http%3A%2F%2Fwww.math.washington.edu%2F~morrow%2F336_11%2Fpapers%2Fjie.doc&ei=IdhGU9yXJebLsAS4j4DoDA&usg=AFQjCNG_VGVrMkXZmURRdBOLG6magpm1YA&sig2=VqEQ60VekMCsMaTYxRs6iQ&bvm=bv.64507335,d.b2I <– Word Doc download but scant

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Will these Markov Chain Monte Carlo Papers in Matlab be useful for quant trading

Will these Markov Chain  Monte Carlo Papers in Matlab be useful for quant trading

Learn more though our FREE newsletter how we will deploy these 

http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf  <– decent framework with code
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964923
http://fmwww.bc.edu/ec-p/software/matlab/mbook.pdf  — 300 pages of Matlab Econometrics tutorial
http://stanfordphd.com/Markov_Chain_Monte_Carlo.html <– paid ??
http://homepages.inf.ed.ac.uk/imurray2/teaching/09mlss/slides.pdf <–start here but no code

https://www.uni-ulm.de/fileadmin/website_uni_ulm/mawi.inst.110/mitarbeiter/stenzel/MCMC/Schmidt_MCMC_2010.pdf <– 90 page complex with no source code
http://www.stat.duke.edu/~hw27/SSUR.html <–another detailed framework with source code
http://stanfordphd.com/Markov_Chain_Monte_Carlo.html

http://www.quantcode.com/modules/mylinks/viewcat.php?cid=3&orderby=titleD
http://www2.math.uu.se/fmb/courseinfo_statistics/Dat07-script8.pdf (research paper from QuantCode link above)
http://www.people.fas.harvard.edu/~plam/teaching/methods/mcmc/mcmc.pdf <– slide deck 200+ Pages (BEST end to end  intro with FULL walkthru for beginners) and R code)

http://www2.math.uu.se/fmb/courseinfo_statistics/Dat07-script8.pdf (90 pages with code and complex thoery based)
http://www.quantcode.com/modules/mylinks/viewcat.php?cid=3&orderby=titleD (Visit The Monte Carlo Framework, Examples from Finance and Generating Correlated Random Variables)

http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf (from quantcode.com link)

GBM=Geometric Brownian Motion

 

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Best open source course FREE Monte Carlo Methods in Finance? With code in Octave or Matlab

Best open source course FREE Monte Carlo Methods in Finance? With code in Octave or Matlab

Thanks to my NYC source for this. Quality stuff as usual for those new to this:

https://iversity.org/courses/monte-carlo-methods-in-finance

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Monte Carlo Primer video posted, future data feed and HFT social Meetups coming #meetup #hft #market

Hi there:

A number of developments over the last 24 hours:
3. A new Youtube video of an online Meetup posted about Monte Carlo Primer. Details on our future Meetups including HFT talk and new data feed start up. Go here.
So? As you can tell, join the QuantLabs.net Premium Membership today as I will be posting some secretive C++ source code on how to build in a high frequency trading system.
This appears to be a big deal as R is gathering massive momentum leaving the likes of FPGA behind due to its complexity.
Got question? Let me know.
Thanks Bryan

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