Equities Push to New Highs; S&P Testing 800, Dow Over 8000
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Former TSY Secretary Summers to Have Senior White House Role
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S&P at Highs, Up 4% to 783
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Stocks Rallying on News Geithner is Obama's TSY Secretary Pick
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BOC to Conduct C$1bln 14-Day Term PRA on Monday
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BOC to Conduct $2bln 28-Day Term PRA on Monday
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Former New Mexico Gov Bill Richardson Picked for Commerce Secretary --NBC
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NBC: NY FED's Geithner is Obama's Pick for TSY Secretary
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NYT: Hillary Clinton Accepts Obama's SecState Offer
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Kirkuk-Ceyhan Pipeline (300k BPD) Shut After Bombing, Fire --Reports
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Kirkuk-Ceyhan Pipeline Shut Due to Bomb Attack --Reports
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Moody's Puts TD on Outlook Neg
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S&P Selling Off, Down 0.9% at 746
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30yr Flat @ 125-25, Other Treasuries Still Lower
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Silver Closes 4.8% Higher at 9.48
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Platinum Closes Up 4.5% to 825.7
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Downturn Affecting Every Sector of US Economy --FED's Evans
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Petrobras taps 1.5 to 2mln barrels of oil (equivalent) near Espirito Santo- Rigzone
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GM Extends Holiday Factory Closure by 1 Week in Oshawa, CA
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Evans - US is Experiencing Disinflation; Deflation Risks Higher But Still Small
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Market heterogeneities and the causal structure of volatility - Part 1
FREE ARTICLE The correlation between historical and realized volatilities is studied empirically for a large range of time intervals. Similarly, the correlation between the volatility changes and the realized volatilities is studied. Both quantities measure the respon read this
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
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
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
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
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
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
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
Evidence-Based Technical Analysis: Hypothesis Tests and Confidence Intervals
FREE ARTICLE The following excerpt is from Chapter 5 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together with Chapters 4 and 6 of the book it addresses aspects of statistics that are particularly relevant to evidence-based (as oppo read this
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
Statistical Arbitrage
FREE ARTICLE Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 2 Statistical Arbitrage read this
FPGA Acceleration of European Options Pricing
FREE ARTICLE Today, Monte Carlo (MC) methods are widely used in finance to price derivative securities. In this approach, the value of the option is expressed in terms of an integral of very high dimensionality. Monte Carlo methods are used to estimate the value of th read this