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Hi Neo
Those are advanced ideas that traders check out to see if they are
applicable to their trading. Unfortunately there is not a lot of easy access
to understanding them. Reading Math is very close reading. Not at all like
reading a novel.
At least for me, it's all very slow going and difficult.
Best regards
Walter
----- Original Message -----
From: neo <neo1@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, September 06, 2001 3:33 PM
Subject: RE: Numerical Linear Algebra
> 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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