More Matlab/IB Code
Here is some more Matlab code to interact with Interactive Brokers' API. Check the previous tutorial on connecting Matlab to…
Volatility vs. Leverage
Recently I've been curious about volatility and leverage. Here's the problem: let's say you make or lose 10% of your…
Weirdness is the “Curse of Dimensionality”
I read the following well-written section in "The Elements of Statistical Learning" by Friedman, Hastie, & Tibshirani. This curse of…
Information Theory Betting
The following is a very interesting problem copied from p.132 of "Elements of Information Theory" by Cover and Thomas. I've…
House Hearing on Hedge Funds
http://video.aol.com/video-detail/house-oversight-cmte-hearing-on-turmoil-in-the-financial-markets/1389143189/?icid=VIDLRVGOV04The politicians love their ambiguously applicable metaphors.
Papers and Matlab Files
Matlab has been really fun to learn so far. It's easy to write useful code with very few lines. In…
SKF: Inverse Construction and Volatility
I previously explained why market returns should be lognormally distributed with positive daily expectation (not continuous). However, imagine a security…
Probability of Ruin
Catalan Numbers are an interesting way of modeling the probability of ruin.Specifically, Catalan Numbers help find the probability that a…
Conceptualizing Learning Error
When you are trying to find the correct equation to model and predict financial data, you will always have some…
Preprocessing – Feature Generation
Price and volume data is the easiest to acquire and holds quite a bit of information. Preprocessing is the technique…
