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W Lake wrote:
>Hi Michael
>
>Congratulations on where you've been able to get to in your trading setup.
>I'm envious and humbled at the same time. Obviously you're already
>established where I'm wanting to go. Will get back to you on Markov
>processes either on or off List if you like.
>
>I have just finished a year of Excel work with some other traders. They have
>finally put together all of the Hilbert functions plus the Hurst and R/S
>stuff. So Markov's are next on my list. Unfortunately, Excel can't go there
>very well.
>
>Here's the home site for the guy that wrote the Matrix Forecasting - Linear
>Algebra article in the August issue of Futures Mag
>
>http://www.racecom.com/
>
>Best regards
>
>Walter
>
>
>----- Original Message -----
>From: MikeSuesserott <MikeSuesserott@xxxxxxxxxxx>
>To: <metastock@xxxxxxxxxxxxx>
>Sent: Thursday, September 06, 2001 6:43 AM
>Subject: AW: Numerical Linear Algebra
>
>
>> Hi Walter,
>>
>> as a guy who likes to use Markov processes a lot as a means of quantifying
>> trading decisions, I can certainly confirm that 300-row matrices can and
>do
>> occur in "every-day" calculations. Luckily for today's computer users,
>> today's computers are equal to the task.
>>
>> To give a concrete numerical example of a larger-type matrix calculation,
>I
>> had Mathematica build a 300x300 matrix consisting of double-precision
>random
>> numbers between 0 and 1 (as would be typical for transition probabilities
>in
>> Markov chains). I thought it might be instructive to list the durations
>for
>> Mathematica to define the 300x300 matrix, then take its determinant and
>its
>> inverse - quite a task, actually, which not so long ago would have
>required
>> an expensive workstation computer to do the calculations in reasonable
>time.
>> Here are Mathematica's results on my old 450 MHz PIII, and, mind, running
>in
>> interpretive mode, i.e.. without compilation:
>>
>> Fill 300x300 matrix with double-precision numbers: 0.1 sec
>> Take the determinant of that matrix: 0.4 sec
>> Invert 300x300 matrix: 1.7 sec
>>
>> As we know from working with Hilbert matrices, it is good to be suspicious
>> of larger-scale iterative results; so I checked the results by doing the
>> same calculation with higher than double-precision accuracy which is 16
>> digits. I chose an internal precision of 50 decimal digits; the above
>> results had been OK, though, and times were just a little longer for the
>> high-accuracy calculations, with 0.5 sec and 1.8 sec, respectively.
>>
>> I don't know if this is of any interest to you or the list, just thought
>I'd
>> add my two cents' worth.
>>
>> Best,
>>
>> Michael Suesserott
>>
>>
>> > -----Ursprüngliche Nachricht-----
>> > Von: owner-metastock@xxxxxxxxxxxxx
>> > [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von W Lake
>> > Gesendet: Thursday, September 06, 2001 15:59
>> > An: metastock@xxxxxxxxxxxxx
>> > Betreff: Numerical Linear Algebra
>> >
>> >
>> > Hi Lionel
>> >
>> > As the introductory paragraph at the site says:
>> >
>> > "... software for the solution of linear algebra problems ..."
>> > "... for solving problems in numerical linear algebra, ..."
>> >
>> > trading is not mentioned
>> >
>> > Most college books on linear algebra usually deal with small
>> > matrices, i.e.,
>> > 3 rows x 5 columns, whereas in business and in trading you are
>> > going to need
>> > at least 300 rows x "lots" of variables, etc. Problems of this size are
>> > referred to as numerical linear algebra.
>> >
>> > Michael can probably be of more help in describing the
>> > "difference" between
>> > the two. The terms used become complicated and merge with
>> > computer science,
>> > i.e., linear programming.
>> >
>> > Some of the programs listed at the site are for parallel
>> > processing or even
>> > for large supercomputers, i.e., Crays, but as you know, we
>> > average guys are
>> > dealing with more horsepower every year.
>> >
>> > Best regards
>> >
>> > Walter
>> >
>> > ----- Original Message -----
>> > From: Lionel Issen <lissen@xxxxxxxxxxxxxx>
>> > To: <metastock@xxxxxxxxxxxxx>
>> > Sent: Wednesday, September 05, 2001 8:37 PM
>> > Subject: Re: Numerical Linear Algebra
>> >
>> >
>> > > Can you tell me if the first site is oriented towards trading or is it
>a
>> > > strictly linear algebra site?
>> > > Lionel Issen
>> > > lissen@xxxxxxxxxxxxxx
>> > > ----- Original Message -----
>> > > From: "W Lake" <wlake@xxxxxxxxx>
>> > > To: <metastock@xxxxxxxxxxxxx>
>> > > Sent: Wednesday, September 05, 2001 11:59 PM
>> > > Subject: Numerical Linear Algebra
>> > >
>> > >
>> > > > Thanks
>> > > >
>> > > > was not aware of this site of available software. It sure makes
>> > searching
>> > > > easier <G>
>> > > > http://www.netlib.org/utk/people/JackDongarra/la-sw.html
>> > > >
>> > > > Trefethen and Bau's book looks very ineresting.
>> > > > http://www.siam.org/books/ot50/index.htm
>> > > >
>> > > > I guess someday you really have to graduate to the big matrices <G>
>> > > >
>> > > > Thanks again
>> > > >
>> > > > Walter
>> > > >
>> > > >
>> > >
>> > >
>> >
>> >
>>
>
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