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Statistically Sound Machine Learning For Algorithmic Trading of Financial Instruments

algorithmic trading

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1K views5 pages

Statistically Sound Machine Learning For Algorithmic Trading of Financial Instruments

algorithmic trading

Uploaded by

Jennifer Parker
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments Developing Predictive-Model-Based Trading Systems Using TSSB David Aronson with Timothy Masters, Ph.D. Technical Advisor Edition 1.20 Great effort has been undertaken to ensure that the content of this book, as well as the TSSB program, are correct. However, errors and omissions are impossible to avoid in a work of this extent. Neither this book nor the TSSB program are meant as providing professional advice. No guarantee is made that these items are free of errors and omissions, and the reader assumes full liability for any losses associated with use of these items About this book: This is a tutorial, with instruction organized from easy to sophisticated. If the reader just skims through the entire text, hoping to gain an idea of how to use the TSSB program, the reader will be hopelessly dismayed by the vast complexity of options. The correct approach is to begin with the first, very simple example and implement it. Then progress to the next, and so forth, Each example builds on experience gained from prior examples. In this way, the reader will painlessly become familiar with the program. The TSSB program may be downloaded (free) from the TSSB website: http: //tssbsoftware.com/ Copyright © 2013 David Aronson and TimothyMasters All rights reserved ISBN 978-1489507716 About David Aronson David Aronson is a pioneer in machine learning and nonlinear trading system development and signal boosting/filtering. He has worked in this field since 1979. His accomplishments include: Started Raden Research Group in 1982 where he oversaw the development of PRISM (Pattern Recognition Information Synthesis Modeling). Chartered Market Technician certified byTheMarket Technicians Association since 1992. Proprietary equities trader for Spear, Leeds and Kellogg 1997 — 2002. ‘Was an Adjunct Professor of Finance, teaching a graduate level course in technical analysis, data mining and predictive analytics to MBA and financial engineering students from 2002 to 2011. Author of “Evidence Based Technical Analysis” published by John Wiley & Sons 2006. This was the first popular book to deal with data mining bias and the Monte Carlo Permutation Method for generating bias-free p- values. Co-designer of TSSB (Trading System Synthesis and Boosting), a software platform for the automated development of statistically sound predictive- model-based trading systems. Developed a method for indicator purification and Pure VIX. Innovated the concept of signal boosting: using machine learning to enhance the performance of existing strategies. About Timothy Masters ‘Timothy Masters received a PhD in mathematical statistics with a specialization in numerical computing. Since then he has continuously worked as a consultant for government and industry. Early research involved automated feature detection in high-altitude photographs while developing applications for flood and drought prediction, detection of hidden missile silos, and identification of threatening military vehicles. Worked with medical researchers in the development of computer algorithms for distinguishing between benign and malignant cells in needle biopsies. + Curent focus is methods for evaluating automated financial market trading systems. + Authored five books on prediction, classification, and applications of neural networks: Practical Neural Network Recipes in C++ (Academic Press, 1993) Signal and Image Processing with Neural Networks (Wiley, 1994) Advanced Algorithms for Neural Networks (Wiley, 1995) Neural, Novel, and Hybrid Algorithms for Time Series Prediction (Wiley, 1995) Assessing and Improving Prediction and Classification (CreateSpace, 2013) More information can be found on the author's website: TimothyMasters.info

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