Cool PCA analysis framework with neural network done in Matlab 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!
Many examples of PCA uses in finance with Matlab source code. There are some examples use with Value at Risk applications. Lots of examples here: http://quant.stackexchange.com/questions/1020/equity-risk-model-using-pca <– See the answer by vonjd http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1358533 <– Meucci paper with example code at http://www.mathworks.com/matlabcentral/fileexchange/23271 also focus on portfolio http://www.cs.princeton.edu/picasso/mats/PCA-Tutorial-Intuition_jp.pdf <– uses toy example so not useful http://stackoverflow.com/questions/21242542/principal-components-calculated-using-different-functions-in-matlab <– …
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Youtube video New Matlab 2013a enhancements in Stats with PCA FPGA and Simulink code generation to your C or C++ API Want to learn more? Join my FREE Newletter. NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I …
HI there The QuantLabs.net rate increase is coming and scheduled for first week of January 2013, see details below but why wait? The march to my high frequency trading system continues! I have listed below the latest accomplishments in the world of GPU, CUDA ,and Matlab. One major take away in all this is that …
FREE GPU CUDA 3rd party high level C++ library for math awesomeness with genetic algorithm, neural net learning, PCA, FFT, BLAS I stlll have to verify this is free but there is a download button with no limitations. I will try to post a video on this. Key is ensure it is compatible for both …
Hi there I have added two online Meetups for later this year. 1. Monte Carlo primer on Nov 5 at 7pm EST. Details here. 2. I made a video on this speaker of Dr. Ernie Chan’s Pitfalls of Backtesting. Go here. This Meetup happens on Dec 11 at 6:30 EST. Also, I am preparing so …
R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo This has been posted in the PremiumMembership section. This saves people tonnes of time which R script works and which ones don’t. Also, there will be a R source code walkthrough of each coming over the next …
Youtube video request Seeking PCA, Markov, data mining examples for automated trading model profits Join my membership here. 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!
Improve your trading strategies with R code for usage of profit off tick data patterns, trade direction, downside risk, trade signals, PCA Hi there, My Algorithm, Modelling, and Strategy Development courses just keep getting bigger and better. In the next few weeks, I’ll be posting R source code to teach you exactly how to: Are …
Quant analytics: PCA for alpha generation I am curious if anyone has had success applying principal component analysis in the context of alpha generation (and not in the context of risk, as PCA is typically applied). For instance, I like the straightforward “absorption ratio” introduced by Kritzman, et al. here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1633027 I suspect that tracking …
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