Cover image for Expert trading systems : modeling financial markets with kernel regression
Title:
Expert trading systems : modeling financial markets with kernel regression
Author:
Wolberg, John R.
Personal Author:
Publication Information:
New York : Wiley, [2000]

©2000
Physical Description:
xviii, 235 pages : illustrations ; 24 cm.
Language:
English
ISBN:
9780471345084
Format :
Book

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HG4523 .W65 2000 Adult Non-Fiction Non-Fiction Area
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Summary

Summary

With the proliferation of computer programs to predict marketdirection, professional traders and sophisticated individualinvestors have increasingly turned to mathematical modeling todevelop predictive systems. Kernel regression is a popular datamodeling technique that can yield useful results fast.

Provides data modeling methodology used to develop tradingsystems.
* Shows how to design, test, and measure the significance ofresults

John R. Wolberg (Haifa, Israel) is professor of mechanicalengineering at the Haifa Institute in Israel. He does research andconsulting in data modeling in the financial services area.


Author Notes

JOHN R. WOLBERG, PhD, is a professor of mechanical engineering at the Technion-Israel Institute of Technology in Haifa, Israel. An expert in financial data modeling, he does research and consulting for leading financial institutions, and has worked with some of the pioneers of computerized trading. Dr. Wolberg holds a bachelor's degree in mechanical engineering from Cornell University and a PhD in nuclear engineering from MIT.


Table of Contents

Data Modeling of Time Series
Kernel Regression
High-Performance Kernel Regression
Kernel Regression Software Performance
Modeling Strategies
Creating Trading Systems
Appendices
Bibliography
Index