Many respondents to my previous post on the rise of supercomputers in the world of finance focused on high frequency trading (HFT). However, I believe that the use of supercomputers for financial research is at least as important. Here is…
Many respondents to my previous post on the rise of supercomputers in the world of finance focused on high frequency trading (HFT). However, I believe that the use of supercomputers for financial research is at least as important. Here is…
In this era of cloud computing, big data, server farms, and the smartphone in your pocket that’s vastly more powerful than a roomful of computers of previous generations, it can be easy to lose sight of the very definition of…
There is a view, developed primarily by Andrew Lo (2004), at MIT, that financial markets are ecological systems in which different groups (“species”) compete for scarce resources. Called the adaptive markets hypothesis (AMH), it posits that markets will exhibit cycles…
Wiesinger, Sornette, and Satinover (2013), of the Swiss Institute of Technology, Zurich, developed a method to “reverse engineer” real-world financial time series. They modeled financial markets as made of a large number of interacting rational Agent Based Models (ABMs). In…
IBM’s Watson computer, which beat champions of the quiz show “Jeopardy!” two years ago, is now being employed to advise Wall Street on risks, portfolios and clients. Citigroup Inc., the third-largest U.S. lender, was Watson’s first financial services client. The…
My article on “The Future of Financial Market Forecasting” is to be published in the forthcoming issue of Foresight: The International Journal of Applied Forecasting. This journal is something of a link between the academic and business communities. There is also an…
It has only been a few minutes since my previous blog post that was based upon a news announcement, this morning, that the Republican House of Representatives planned to offer its own bill to end the government shut down and…
On Thursday, October 3, I impulsively posted an unusual blog entry. It was not typical of the posts on this Alpha Interface blog as it largely contained political content. It suggested a scenario by which the Republican dominated House of…
Jeffrey Mishlove interviews David Aronson. Aronson is author of Evidence Based Technical Analysis and Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments. Here Aronson describes different types of machine learning.
Jeffrey Mishlove interviews David Aronson. Aronson is author of Evidence Based Technical Analysis and Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments. Here Aronson focuses on the strengths and weaknesses of the Monte Carlo method for statistical validation…