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-----Message d'origine-----
De : Simon Dawson [mailto:si@xxxxxxxxxxxxxxxx]
Envoye : samedi 26 juin 2004 23:51
A : omega-list@xxxxxxxxxx
Objet : RE: neural net expert
Hate to say this, but I agree with Pierre..
==
Hehe...
having spent the best part of 5 years full time working with nnets, using them
to predict markets (among other things), Pierre is exactly on the money.
==
Unfortunately, yes.
Getting them to behave and produce useful results is definitely non trivial.
The hardest thing is asking them the right question. Second hardest is munging
the data going in and out to an 'interpretable' format.
Oh, and the biggest risk is over optimisation. If you think about it - with,
say, a typical 3 layer backprop net, that has x input nodes, y in the middle
layer, and z output nodes.. you're talking x * y * z degrees of freedom.. now
imagine coming up with a quadratic equation with x * y * z number of elements,
and you can imagine how curve fitted that would be.
Essentially, nnets tend to result in a blurred average.. something which is done
much simpler and more reliably with an -actual- smoothed average, ala T3 or the
recent conversation by Bob, Bob, Alex et al.
By the time you figure out an appropriate question to ask, and how to formulate
the information you're passing in, I'd bet anything you can find a more
transparent, comprehendable, reliable method of achieving the answer.
==
This is the reason why I gave up with NN adn GA in 1995.
The way to get the information is very dependent of the architecture (all of
them are not equal and NNets really less robust than fuzzy logic) and the
train/test/contrlol method, what cannot be achieved with GA
Oh, and as for Ward Systems Group, yeah, they've got some good stuff.. I used to
work with them.. in fact, developed the first version of what would have been
their NeuroShell Trader.
===
Interesting.
I also worked with Steve Ward in 1993 to build a TS interface to neuroshell 2.
Sincerely,
Pierre Orphelin
www.sirtrade.com
Tradestation 2000i, TradeStation 8 sales and support
Safir-X, neurofuzzy logic trading system builder
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