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Hi Angel,
how you're doing?
To see GA within Excel and VBA, have a look at "Genetic Pattern Finder" at www.foretrade.com
I don't have any experience with this software, so don't ask me how I like it.
All the best,
Andreas
> -----Ursprüngliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Angel Ibarra
> Gesendet am: Freitag, 9. Februar 2001 20:33
> An: metastock@xxxxxxxxxxxxx
> Betreff: RE: Artificial Intelligence, expert and neural
>
> Any of you know it there is any add-in to make GA work in Excel or VB?
> Angel Ibarra
>
> -----Mensaje original-----
> De: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]En nombre de David Jennings
> Enviado el: jueves, 08 de febrero de 2001 9:38
> Para: metastock@xxxxxxxxxxxxx
> Asunto: Re: Artificial Intelligence, expert and neural
>
>
> Jeff,
> Amazing how some of this stuff comes back, I had forgotten about
> leptokurtosis - sounds like a disease doesn't it.
> I did a significant study in this area on the Brent Oil market in about
> 93/4. I suspect I threw it into the bin when I left Shell. I havn't picked
> up Peters' book in a number of years either.
> I think I'm going to have to take some time out and fiddle with the
> equations. I'd forgotten how much I enjoyed this area.
>
> As regards yr. other posting, I don't think you are being confrontational at
> all. I completely agree. I guess, that my sense of it is that an excellent
> fundamental analyst will always outperform an excellent chartist. What will
> let him down will be the number of stocks he can manage. Thus an average
> chartist will tend to out perform a good analyst. At the limit, I see a
> black box outperforming the individual purely because of scope and freedom
> from emotion.
>
> On your other point regarding data, I couldn't agree more. If you look at a
> chart on the screen, one can ignore the bad tick. In a network, you can't.
> Cleanliness of data is paramount.
>
> I must confess I've given up and what little success I've had tends to come
> from technical analysis rather than NNs. However, I would still commend
> using a GA to search for indicator settings. It's extremely fast.
>
> Take care
>
> DJ
> ----- Original Message -----
> From: "Jeff Haferman" <haferman@xxxxxxxxxxxxxxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Wednesday, February 07, 2001 4:00 PM
> Subject: Re: Artificial Intelligence, expert and neural
>
>
> > David Jennings wrote:
> > >
> > >As an aside, whilst they fit markets quite well, different parameters are
> > >required over different time frames. Thus the question to you guys is: if
> > >this is corect (and I believe it to be) it flatly ontradicts any fractal
> > >market hypothesis. Any assistance would be helpful.
> > >
> >
> > My opinion is that it doesn't contradict any FMH. I'm cheating
> > here and looking at Edgar Peter's "Chaos and Order..."
> > specifically his Eq. (9.2). If you don't have the book,
> > this is an equation for a Pareto-Levy distribution, which has
> > 4 characteristic parameters. [I would reproduce the Eq here,
> > but it would take some work!] Call the parameters A, B, C, and D.
> >
> > Peters states that a normal dist'n results when A=2, B=0, C=1,
> > and D=1. A fat-tailed, skewed-to-the-right (i.e. leptokurtotic)
> > dist'n results when A is between 1 and 2, and B approaches 1.
> > It turns out A is actually the fractal dimension of the dist'n.
> >
> > Now, what is the mean of this second distribution? It depends
> > on the time frame! For daily prices, if the mean is M, then
> > for 5-day returns the mean is 5*M. So, this is a case where
> > the distribution of the returns has a time-dependent parameter,
> > but the distribution is fractal.
> >
> > So, to apply this to GARCH, it really comes down to this:
> > is the fractal dimension of the distribution independent of
> > the time frame? Any other parameters of the distribution
> > do not need to be independent of the time frame.
> >
> > Jeff
> >
>
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