I’m a big fan of Ernie Chan’s quant trading books: Quantitative Trading, Algorithmic Trading, and Machine Trading. There are some great insights in there, but the thing I like most is the simple but thorough treatment of various edges and the quant tools you might use to research and trade them. Ernie explicitly states that …
This is the third in a multi-part series in which we explore and compare various deep learning tools and techniques for market forecasting using Keras and TensorFlow. In Part 1, we introduced Keras and discussed some of the major obstacles to using deep learning techniques in trading systems, including a warning about attempting to extract meaningful signals …
Recently, I wrote about using mean-reversion time series models to analyze financial data and build trading strategies based on their predictions. Continuing our exploration of time series analysis and modelling, let’s turn our attention to the autoregressive and conditionally heteroskedastic family of models. Specifically, we’ll look into the Autoregressive Integrated Moving Average (ARIMA) and Generalized …
