Hot answers tagged algorithm
After having done a lot of research on the topic I found the following excellent research piece on ETF.com: Wealthfront modifies historic asset-class returns with current market implied expected returns (Black-Litterman) as well as with the in-house views of Chief Investment Officer Burton Malkiel’s team. In addition, Wealthfront sets minimum and ...
I think you might find this answer in The future language of quant programming? useful. People get this problem wrong because they always end up discussing the theoretical advantages of these languages rather than the practical uses of these languages. Theoretically speaking: Haskell is elegant and has many of the theoretical advantages (language ...
One idea is Dynamic time warping (DTW). There is an R package for that: dtw Here is the vignette:Computing and Visualizing Dynamic Time Warping Alignments in R: The dtw Packageby Toni Giorgino And here is an example from Systematic Investor with full code: Time Series Matching with Dynamic Time Warping
There are many resources on the web but you need to think why you would want to do this in the first place. Are there not packages or frameworks out there already that will do what you need? Also backtesting or any financial trading platform will be suited to a specific style or method of backtesting. Some are vectorised iterative processes (e.g. just a big ...
This may not directly answer your questions. There's a class offered by Georgia Tech called Machine Learning for Trading, you might find it useful. https://www.udacity.com/course/machine-learning-for-trading--ud501
Read Max Dama on Automated trading (PDF) - This is the best introduction to algorithmic trading out there: http://www.decal.org/download/2582
You may have a look at a list of clustering algos available in sklearn here, but I think all of them are of $O(n^2$) complexity. As well, have a look at the TSNE clustering algo, which is supposed to be $O(log(n)*n)$, but this may not be the fact depending on a particular implementation. A particular case in point is again Python sklearn implementation of ...
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