Research Catalog

Title

Expert trading systems : modeling financial markets with kernel regression / John R. Wolberg.

Author

Wolberg, John R.

Publication

New York : Wiley, 2000.

Items in the Library & Off-site

Holdings

Details

Description

xviii, 235 pages : illustrations; 24 cm.

Series Statement

Wiley trading advantage

Uniform Title

Wiley trading advantage.

Subjects

• Capital market > Mathematical models
• Expert systems (Computer science)
• Regression analysis

Bibliography (note)

• Includes bibliographical references (p. 225-229) and index.

Contents

• Ch. 1. Introduction. 1.1. Data Modeling. 1.2. The Hills of the Galilee Problem. 1.3. Modeling Financial Markets. 1.4. Evaluating a Model. 1.5. Nonparametric Methods. 1.6. Fundamental versus Technical Analysis -- Ch. 2. Data Modeling of Time Series. 2.1. The Time Series Problem. 2.2. Classical Methods of Time Series Modeling. 2.3. The Curse of Dimensionality. 2.4. Candidate Predictors. 2.5. The Equity Curve. 2.6. Measuring the Efficiency of a Modeling Method -- Ch. 3. Kernel Regression. 3.1. The Basic Concept. 3.2. Higher Order Algorithms. 3.3. The Bandwidth Concept. 3.4. Error Estimates. 3.5. Applying Kernel Regression to Time Series Data. 3.6. Searching for a Model. 3.7. Timing Considerations -- Ch. 4. High-Performance Kernel Regression. 4.1. Software Considerations. 4.2. The p-Tree. 4.3. Partitioning the Learning Data Set. 4.4. Using the p-Tree. 4.5. Time Weighting the Data. 4.6. Multistage Modeling. 4.7. The Search Engine.
• 4.8. Computational Complexity. 4.9. Parallel Processing -- Ch. 5. Kernel Regression Software Performance. 5.1. Software Evaluation. 5.2. Searching Parameters. 5.3. The Effect of Tree Height. 5.4. Number of Nearest Neighbors. 5.5. Processing Time per Space. 5.6. Data Weighting. 5.7. Comparing the Three Algorithms -- Ch. 6. Modeling Strategies. 6.1. The Modeling Plan. 6.2. Out-of-Sample Testing. 6.3. Modeling Dynamic Systems. 6.4. Cross-Sectional Modeling. 6.5. Combining Models. 6.6. Measures of Performance. 6.7. Using Kernel Regression for Classification Problems. 6.8. Fine Tuning a Model -- Ch. 7. Creating Trading Systems. 7.1. Trading Systems. 7.2. Generating Signals. 7.3. Creating a Filter. 7.4. Cross-Sectional Trading Systems. 7.5. Updating Models. 7.6. Stock Selection: A Case Study. App. A. Linear Least Squares With Data Weighting -- App. B. A Test for Significance of Variance Reduction -- App. C. Comparing KR and Parametric Regression --
• App. D. Comparing KR and Neural Networks -- App. E. A Test for Significance of FractionS̲ameS̲ign.

ISBN

0471345083 (alk. paper)

LCCN

99015788

OCLC

• 41337989
• ocm41337989

Owning Institutions

Columbia University Libraries