Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments
Review Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments
by DAVID ARONSON, TIMOTHY MASTERS
Description
Emphasizing the importance of using statistical methods to assess and devise a system of trading before being applied and utilized during live trading is one of the two chief lessons of the book. The other one is to show how the Trading System Synthesis & Boosting (TSSB), a free program, can be of great help and utilization to create and evaluate existing trading systems.
Rich in technical specifications of algorithmic trading of financial instruments, this book will come in handy for traders and experts exploring the technical aspect of trading.
About the Authors
David Aronson is a certified Chartered Market Technician by the Market Technicians Association since 1992. He is a pioneer in machine learning and nonlinear trading system development and signal boosting. He also served as a professor to MBA students.
Timothy Masters is a Ph.D. degree holder in mathematical statistics with a specialization in numerical computing. He has been serving as a consultant for the government and the industry. He has published five books and posts his works on his website, TimothyMasters.info.
Table of Contents
The book covers a lot of technical topics. Here are the major concepts presented in the book:
Introduction
A Simple Standalone Trading System
Common Initial Commands
Reading and Writing Databases
Creating Variables
Volatility Indicators
Indicators Involving Indices
Basis Price Distribution Statistics
Indicators That Significantly Involve Volume
Entropy and Mutual Information Indicators
Indicators Based on Wavelets
Follow-Through Index (FTI) Indicators
Target Variables
Screening Variables
Models 1: Fundamentals
Models 2: The Models
Committees
Oracles
Testing Methods
Permutation Training
Transforms
Complex Prediction Systems
Graphics
Finding Independent Predictors
Market Regression Classes
Developing a Stand-Alone System
Trade Simulation and Portfolios
Integrated Portfolios
