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Market heterogeneities and the causal structure of volatility - Part 2
FREE ARTICLE Part two of the paper exploring the correlation between historical and realized volatilities. By Paul Lynch and Gilles Zumbach read this
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A generalised formula for European option values as the basis for an automated arbitrage strategy
FREE ARTICLE This paper considers a generalised approach to the problem of rational value calculation of European options. A distinctive feature of the suggested approach is a rejection of the base asset market being described by means of standard price formation mode read this
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Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 1
FREE ARTICLE In this paper, we discuss a series of pretests, based on several variants of random search, aiming at giving more clearcut answers as to whether a GP scheme, or any other machine-learning technique, can be effective with the training data at hand. Precise read this
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Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 2
FREE ARTICLE Part 2 of Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading bootstrap paper. By Shu-Heng Chen and Nicolas Navet read this
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Assessing the Risk and Return of Financial Trading Systems - a Large Deviation Approach
FREE ARTICLE We apply large deviation theory to assess the probability that a trading system performs below or above a certain threshold. Our technique does not require that the distribution of the performance criterion obeys a closed-form equation, and can accept a read this
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Entropy Rate and Profitability of Technical Analysis: Experiments on the NYSE US 100 Stocks
FREE ARTICLE The entropy rate of a dynamic process measures the uncertainty that remains in the next information produced by the process given complete knowledge of the past. It is thus a natural measure of the difficulty to predict the evolution of the process. T read this
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Financial Data Mining with Genetic Programming: a Survey and Look Forward
FREE ARTICLE Genetic Programming (GP) is an appealing machine-learning technique for tackling financial engineering problems: it belongs to the family of evolutionary algorithms that have proven to be remarkably successful at handling complex optimization problems read this
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Naked Option by Joe Kolman
FREE ARTICLE Dave Ackerman, the narrator of Naked Option, is a brilliant trader but one day, recklessly trying to one-up his firm's superstar, he goes naked on an option trade and loses $112 million in two hours. His career is over. Then he hears about an auditing job read this
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Evidence-Based Technical Analysis: Statistical Analysis
FREE ARTICLE The following excerpt is from Chapter 4 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together with Chapters 5 and 6 of the book (which will be available as excerpts later) it addresses aspects of statistics that are part read this
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Data-Mining Bias: The Fool’s Gold of Objective TA
FREE ARTICLE The following excerpt is from Chapter 6 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together with Chapters 4 and 5 of the book it addresses aspects of statistics that are particularly relevant to evidence-based (as oppo read this
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Monte Carlo or Bust
FREE ARTICLE Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 1 Monte Carlo or Bust read this