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(Generalised) Autoregressive Conditional Heterskedasticity - these are
basically non linear fat tailed stochastic processes with a high peaked
frequency distribution. Most market have statistically significant ARCH.
GA - genetic algorithm NN neural network.
DJ
----- Original Message -----
From: "Lionel Issen" <lissen@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, February 07, 2001 4:01 AM
Subject: Re: Artificial Intelligence, expert and neural
> David:
> Please clarify the Terminology for me: GARCH, ARCH, GA, NN
>
> If the team from Rice U were successful, they should be reticent. Since
they
> aren't selling software, books or courses, I suspect that they are
> successful.
>
> The book "The Predictors", was too boastful for my tastes.
>
> Thanks for your input.
> Lionel Issen
>
> ----- Original Message -----
> From: "David Jennings" <davidjennings@xxxxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Tuesday, February 06, 2001 4:51 PM
> Subject: Re: Artificial Intelligence, expert and neural
>
>
> > There are quite a few instances of success trading with either GAs or
NNs.
> I
> > must confess, I found The Predictors a bit populist. I'd hoped to get
some
> > insighst into model structure. Quite a number of the banks put up big
> money
> > for research into fuzzy networks, GARCH and ARCH. $5M p.a. was a typical
> > research budget.
> >
> > The ultimate Trading Guide is worth a read on how good GAs and NNs are.
I
> > must admit I'm a great fan of GAs for seeking optimal parameters for an
> > indicator over a portfolio. Model structure is very important for
trading
> a
> > market - whatever chaos theory tells us, and thus one can end up with an
> > overly complex model which misses the point.
> >
> > My experience of NNs is that one has to be quite specific about one's
> target
> > e.g. predicting turning points etc.and then use them in combination.
I'm
> > convinced that a guy with sound experience in say Fib could do as good a
> job
> > as any NN. however, Lionel makes a strong point though, the beauty of AI
> in
> > general is that it can play multiple markets in multiple time frames
> > simultaneously - and hence generate super normal gains or losses. There
> was
> > a group of guys from Rice university (whose names I've forgotten) who
> > launched Frontier specialising in pattern recognition. They built
trading
> > systems and played the markets. The very absence of research papers from
> > them suggests that they were successful!
> >
> > DJ
> > ----- Original Message -----
> > From: "Lionel Issen" <lissen@xxxxxxxxx>
> > To: <metastock@xxxxxxxxxxxxx>
> > Sent: Tuesday, February 06, 2001 8:03 PM
> > Subject: Re: Artificial Intelligence, expert and neural
> >
> >
> > > Jeff:
> > > A few years ago I read that the Bankers Trust of NY was spending a
mint
> > on
> > > such things like neural nets, artificial intelligence and chaos
systems.
> > > Last year the Deusche Bank bought them out and like many foreign
> companies
> > > they are very secretive, and wont give an outsider the time of day. So
> > there
> > > is no way of finding out how successful these methods are.While
current
> > > daily prices are available on the net, charts are not.
> > >
> > > There was a recent book "The Predictors" about a group in the
southwest
> > (New
> > > Mexico?) who were/are successful at this trading in esoteric
> instruments.
> > My
> > > feeling is that if they were very successful, they'd make someone like
> > > Buffett look like a penny ante player.
> > > Lionel Issen
> > > lissen@xxxxxxxxxxxxxx
> > > ----- Original Message -----
> > > From: "Jeff Haferman" <haferman@xxxxxxxxxxxxxxxxxxxxxxx>
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: Tuesday, February 06, 2001 11:51 AM
> > > Subject: Re: Artificial Intelligence, expert and neural
> > >
> > >
> > > >
> > > >
http://www.emsl.pnl.gov:2080/proj/neuron/neural/systems/shareware.html
> > > >
> > > > has quite a selection. Neuroforecaster/GA is geared specifically
> > > > toward financial applications, and you can download a limited
> > > > version. The shareware neural net package SNNS probably has the
> > > > best reputation.
> > > >
> > > > But you're going to spend a lot of time training and tuning any
> > > > expert system or neural net. The results I've seen indicate that
> > > > neural nets are great at learning about past market activity,
> > > > but I haven't seen any convincing results that show that
> > > > they do better than random at predicting future activity.
> > > >
> > > > Jos Carlos Duarte Areia wrote:
> > > > >I'm looking for this subject, anyone knows the best sites and
> > softwares
> > > (I
> > > > >found any at TASC 2000 page 19, bonus issue)to look for ?
> > > > >Thanks JCarlos
> > > >
> >
>_________________________________________________________________________
> > > > >Get Your Private, Free E-mail from MSN Hotmail at
> > http://www.hotmail.com.
> > > > >
> > >
> > >
> >
>
>
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