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Hi Walter,
thanks for the kind words, but the credit should really go to Mathematica
and its creators, mainly Stephen Wolfram and Roman Maeder. I could never
have envisioned doing this kind of linear algebra based work with Excel, and
would probably have shied away from the drudgery of hand-coding all the
needed algorithms in C++.
In case you should be interested in pursuing your Mathematica experience
further, may I recommend you spend $20 for the online version of the
Glynn/Gray Beginner's Guide book. Somewhat contrary to its title, there are
many topics being treated in that book that would also be interesting for an
advanced user, among them an excellent discussion of numerical problems
arising from the use of large matrices, and how Mathematica deals with this.
The web address for the book is
www.mathware.com/Books/Mathematica_Books/Mathematica_Guide/mathematica_guide
.html
I have no connection with them except as a customer, but I consider this
purchase as some of the best $20 I ever spent.
Best regards,
Michael Suesserott
> -----Ursprüngliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von W Lake
> Gesendet: Thursday, September 06, 2001 22:15
> An: metastock@xxxxxxxxxxxxx
> Betreff: Re: Numerical Linear Algebra
>
>
> 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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