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Perhaps someone could help but I must be out of the loop. What are the
Markov, Hilbert, Hurst, and R/S functions?
thanks, neo
~ -----Original Message-----
~ From: owner-metastock@xxxxxxxxxxxxx
~ [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Jeff Haferman
~ Sent: Thursday, September 06, 2001 4:42 PM
~ To: metastock@xxxxxxxxxxxxx; metastock@xxxxxxxxxxxxx
~ Subject: Re: Numerical Linear Algebra
~
~
~ 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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