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David,
My word! Its been many (too many) years since I heard the term
'heteroskedasticity' ---- buried back there somewhere in that lesson
I must have slept through in my college statistics class!
It has to do with measuring autocorrelation in a data time series doesn't
it?
Curious? ........ John
----- Original Message -----
From: "David Jennings" <davidjennings@xxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, February 07, 2001 1:40 AM
Subject: Re: Artificial Intelligence, expert and neural
> (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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