Tag Archives: references

Best references with notes and Youtube videos for ARIMA model forecasting and R script

Best references with notes and Youtube videos for ARIMA model forecasting and R script

For notation:

http://www.duke.edu/~rnau/411arim.htm

http://faculty.chicagobooth.edu/john.cochrane/research/papers/time_series_book.pdf

http://en.wikipedia.org/wiki/Autoregressive%E2%80%93moving-average_model

 

Youtube videos:
ARIMA demo using NAG:

http://www.youtube.com/watch?v=74dUsqf0eBw&sns=em

For R script demo:

http://www.youtube.com/watch?v=zFo7QixEKvg&sns=em

Notes for R script video:

Stationary want it one stationary (acf does not tail off quickly) so difference with diff
You also want non constant variance so you log the diff. There may be no trend as in positive or negatives lot
Note arima function does diff for you. Arima is order of p.d q. P is order for AR (correlation structure)
D is number of differences. Q is order of MA term in arima model.
Statistical significant from arima output of standard error vs coefficients of ar1 and ar2. Aic output is used for model selection.

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!

Interactive Brokers TWS application is really good, I mean really really good. API references included

Interactive Brokers TWS application is really good, I mean really really good. API references included

It is quite sophisticated what it can do. You can get a demo here.

http://www.interactivebrokers.com/en/p.php?f=tws&p=d&ib_entity=llc

Also, some decent PDF files on the APIs and further TWS info:

http://www.interactivebrokers.com/download/TWSGuide.pdf

http://individuals.interactivebrokers.com/download/newMark/PDFs/gateway.pdf

http://individuals.interactivebrokers.com/download/newMark/PDFs/APIprintable.pdf

As you can tell, this is for individuals.

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Can someone suggest good readings/books/references on the low-latency C/C++ programming on Unix/Linux?

Can someone suggest good readings/books/references on the low-latency C/C++ programming on Unix/Linux?

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Yes If anyone is aware about that please post the name of the author, that would really help

 

 

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References available to get into advanced neural networks and quant

Not only different conditions but I also do different models for each instrument traded. This is possible as I only do Futures and Forex.

Philosophically there are the markets: in biology perhaps a genus, then groups of similar market instruments: a species, then the actual individual instrument: EUR/JPY.

The instrument would be an individual life form with its own DNA. As in life forms, behavior is a product of both DNA and experiences or environmental conditioning. Two siblings from the same parents will have similarities but also experience induced differences in attitude, outlook and behavior.

This can be exhibited in interesting ways at the instrument level.

For example model based trading systems involving the Yen have an accuracy factor tied to a 24 hour cycle of normal events in everyday life in Japan. The lowest accuracy consistently occurs at lunch time in Tokyo compared to any of the 23 other hours in the trading day.

My theory is that a lot of Japanese retail traders trade on their lunch hour, while of course professionals trade the entire day. The herd of part time traders ruing into the market at lunch time introduces a chaotic element which is sharply reduced one they go back to the office and into meetings or regular work after lunch.
I ask that because a while ago I generated some pseudo-random time series to test some strategies and make them as robust as possible. I tried to make those series as similar as possible to real financial data while keeping them randomly generated. The interesting thing is that they looked like real financial series, even presenting some periods with well defined trends! If possible, I would like to send them for you to see what you can produce with your methods with no predictors involved.
Many of you are asking for more references: I am going to post them here as I find the more influential work in my research. For starters:
http://www.amazon.com/Networks-Capital-Markets-Apostolos-Paul-Refenes/dp/0471943649/ref=sr_1_1?ie=UTF8&s=books&qid=1282153511&sr=8-1

If you are interested on market modeling in a distributed fashion, I would suggest looking into swarm behavior.
http://en.wikipedia.org/wiki/Swarm_intelligence
here are most of the 4+ star books on the subject:
http://www.amazon.com/s?ie=UTF8&tag=mozilla-20&index=blended&link_code=qs&field-keywords=swarm%20intelligence&sourceid=Mozilla-search

I- am going to limit my offer so that is not the only thing i do form noe one.
Bring them on and i’ll post the results. If you have a trade system, you can send me a market plus ans open equity curve, and i’ll show you significant performance improvement woth post mortem trade management. ( first few only)
You can find my data at www.kaggle.com/INFORMS2010

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!

Here is a concise C++ debate on references versus pointers References: 1) Its necessary to initialize the Reference at the time of declaration. Like int &a = 10; int &a; //Error here but not in case of Pointer. 2) You can not create the Array of reference. 3) You can not assign NULL to the reference like int &a = NULL; //Error * Reference is an implicit pointer * Must tell it which variable it will become an alias for * References do not require dereferencing * No acquisition of memory address required * References are often implemented by the compiler writers as pointers. * References are "safer" than pointers Pointers can have advantages over references: * Pointer can be left uninitialized. * Pointer can be stored in Container classes, References cannot, as they are uninitialized. * Most programs has "NULL" values, Pointers are recommended in these cases. * Pointer can easily visualize side-effect is local or not. You initilizae non static class members that are refences in the initialization list only. Pass by reference is safer than pass by pointer since you cannot pass nulls int *p=0; foo(*p); void foo(int &x){ } in above foo() function you can change the value of x but can't make it to point to some other integer… References act an alias. Prepending variable with "&" symbol makes it as reference. When do use "const" reference arguments in function? a) Using const protects you against programming errors that inadvertently alter data. b) Using const allows function to process both const and non-const actual arguments, while a function without const in the prototype can only accept non constant arguments. c) Using a const reference allows the function to generate and use a temporary variable appropriately. When are temporary variables created by C++ compiler? Provided that function parameter is a "const reference", compiler generates temporary variable in following 2 ways. a) The actual argument is the correct type, but it isn't Lvalue double Cube(const double & num) { num = num * num * num; return num; } double temp = 2.0; double value = cube(3.0 + temp); // argument is a expression and not a Lvalue; b) The actual argument is of the wrong type, but of a type that can be converted to the correct type long temp = 3L; double value = cuberoot ( temp); // long to double conversion

Here is a concise C++ debate on references versus pointers
References:
1) Its necessary to initialize the Reference at the time of declaration. Like int &a = 10;
int &a; //Error here but not in case of Pointer.
2) You can not create the Array of reference.
3) You can not assign NULL to the reference like int &a = NULL; //Error
* Reference is an implicit pointer
* Must tell it which variable it will become an alias for
* References do not require dereferencing
* No acquisition of memory address required
* References are often implemented by the compiler writers as pointers.
* References are “safer” than pointers
Pointers can have advantages over references:
* Pointer can be left uninitialized.
* Pointer can be stored in Container classes, References cannot, as they are uninitialized.
* Most programs has “NULL” values, Pointers are recommended in these cases.
* Pointer can easily visualize side-effect is local or not.
You initilizae non static class members that are refences in the initialization list only.
Pass by reference is safer than pass by pointer since you cannot pass nulls
int *p=0;
foo(*p);
void foo(int &x){ }
in above foo() function you can change the value of x but can’t make it to point to some other integer…
References act an alias. Prepending variable with “&” symbol makes it as reference.
When do use “const” reference arguments in function?
a) Using const protects you against programming errors that inadvertently alter data.
b) Using const allows function to process both const and non-const actual arguments, while a function without const in the prototype can only accept non constant arguments.
c) Using a const reference allows the function to generate and use a temporary variable appropriately.

When are temporary variables created by C++ compiler?
Provided that function parameter is a “const reference”, compiler generates temporary variable in following 2 ways.
a) The actual argument is the correct type, but it isn’t Lvalue
double Cube(const double & num)
{
num = num * num * num;
return num;
}
double temp = 2.0;
double value = cube(3.0 + temp); // argument is a expression and not a Lvalue;
b) The actual argument is of the wrong type, but of a type that can be converted to the correct type
long temp = 3L;
double value = cuberoot ( temp); // long to double conversion

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