Blog

Explore the research behind our trading, plus some just-for-fun stuff....

Posted on Aug 09, 2016 by Kris Longmore
23 comments.
1,621 Views

It would be great if machine learning were as simple as just feeding data to an out-of-the box implementation of some learning algorithm, then standing back and admiring the predictive utility of the output. As anyone who has dabbled in this area will confirm, it is never that simple. We have features to engineer and transform (no trivial task -...

Posted on Jul 20, 2016 by Kris Longmore
5 comments.
423 Views

Last night it was my pleasure to present at the Tyro Fintech Hub in Sydney on the topic of using machine learning in algorithmic trading systems. Here you can download the presentation Many thanks to all who attended and particularly for the engaging questions. I thoroughly enjoyed myself! In particular, thanks to Andrien Juric for oraganising the event and Sharon Lu...

Posted on Jun 21, 2016 by Kris Longmore
No Comments.
3,331 Views

If there's one thing I've done a lot of over the last few years, reading would be it. I've devoted a great deal of time to devouring any material that I thought might give me an edge in my trading - textbooks, academic papers, blog articles, training courses, lecture notes, conference presentations...anything and everything I could get my hands on. I was...

Posted on May 10, 2016 by Kris Longmore
43 comments.
7,275 Views

Introduction My first post on using machine learning for financial prediction took an in-depth look at various feature selection methods as a data pre-processing step in the quest to mine financial data for profitable patterns. I looked at various methods to identify predictive features including Maximal Information Coefficient (MIC), Recursive Feature Elimination (RFE), algorithms with built-in feature selection, selection via...

Posted on Apr 14, 2016 by Kris Longmore
5 comments.
1,617 Views

Disclaimer: I am not posting this at the behest of the developers of Zorro, nor do I receive any form of payment or commission for this post. I felt that I should relay this experience because it was an example of customer service that went way above and beyond the call of duty in terms of its promptness and professionalism. Credit where...

Posted on Mar 04, 2016 by Kris Longmore
69 comments.
18,879 Views

Update 1: In response to a suggestion from a reader, I've added a section on feature selection using the Boruta package.  Update 2: Responding to another suggestion, I've added some equity curves of a simple trading system using the knowledge gained from this analysis. Update 3: In response to a comment from Alon, I've added some Lite-C code that generates...

Posted on Feb 04, 2016 by Kris Longmore
22 comments.
8,367 Views

[latexpage] Recently, I wrote about fitting mean-reversion time series models to financial data and using the models' predictions as the basis of a trading strategy. Continuing my exploration of time series modelling, I decided to research the autoregressive and conditionally heteroskedastic family of time series models. In particular, I wanted to understand the autogressive integrated moving average (ARIMA) and generalized...

Posted on Jan 02, 2016 by Kris Longmore
27 comments.
6,708 Views

In the first post in this series, I explored mean reversion of individual financial time series using techniques such as the Augmented Dickey-Fuller test, the Hurst exponent and the Ornstein-Uhlenbeck equation for a mean reverting stochastic process. I also presented a simple linear mean reversion strategy as a proof of concept. In this post, I’ll explore artificial stationary time series and...