# Tag Info

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You can find an exact algorithm with a step-by-step explanation here: https://www.dropbox.com/s/t4fq067kzx26mhw/project_paper.pdf As you can see from the URL it is an archived document because the original site is unfortunately long gone and the tool referenced in the paper with it :-( But it should be helpful anyway to understand what is going on. Notice ...

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Some reading that may be of interest to you and which proceeds along similar lines of thought is that of Shmilovici in "Predicting Stock Returns Using a Variable Order Markov Tree Model". Abstract: "The weak form of the Efficient Market Hypothesis (EMH) states that the current market price fully reflects the information of past prices and rules out ...

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How about an O(N log(n)) solution ? To be a viable trading strategy, you often expect them variances to be similar, so just calculate ordinary volatility and put it in an ordered array. Of course that's going to be period dependent, so pick a few arbitrary periods and see which instruments end up being together. Then you get clusters of vastly smaller ...

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Another reason for C++ is control, or at least the illusion of it. If you really care about what exactly is going to happen and when it is going to happen then C++ is the best option. If you are prepared to put in the effort you can know and control everything all the way down to the metal. Of course the price for more control in C++ is that you often have ...

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Assume $p_i(x)$ is a payoff of one particular option. You can try to reproduce the diagram using a bunch of options with strikes on the breakpoints (underlying is useless, because its payoff can always be modelled by buy&sell of a certain call and put). Then you can create a system of k equations with n unknowns (number of each kind of option). All other ...

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Perhaps to detect fractal behaviour you could fit something like a Daubechies wavelet. That is, $W(a,b) := \frac{1}{\sqrt{|a|}} \int_{-\infty}^{\infty} f(t) \phi((t-b)/a)dt$. Then you want to check the set $\{W(a,b) : a \in \mathbb{R}_+\}$ where $a$ is the scale, for some fixed $b$. If all the coefficients are similar then this might be some indication of ...

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Assume $n$ markets where each market $n$ has features $Bid(n)$, $Ask(n)$, bid volume, $BidV(n)$, ask volume, $AskV(n)$, fixed costs, $FixC(n)$, and variable costs, $VarC(n)$. Assume you buy on market $n$ and sell on market $n+1$. The profit $\Pi(n,n+1)$ of each arbitrage opportunity amounts to  \Pi(n,n+1) = V * [(1+VarC(n+1))*Bid(n+1) - ...

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The late Thomas Cover , (likely the leading "Information Theorist" of his generation), considered "Universal" approaches to things like data compression and portfolio allocations as true genetic algorithms. Evolution has no parameters to fit or train. Why should true genetic algorithms? Universal approaches make no assumptions about the underlying ...

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You might want to check out the book Evidence Based Technical Analysis by David Aronson. In it he applies statistical techniques to determine whether certain time series patterns have any predictive power. It's an interesting read and should equip you with some ideas on how to differentiate between folklore and statistical rigor. It also gives you ample ...

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