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2022-05-02 07:30:58

Please enable javascript to view this site. Turing Finance | May 2, 2022 Select a Page: Computational Finance BlogMachine Learning SoftwareOpen Market DataQuant EducationQuant SoftwareReading listTuring Finance Select a Page: Computational Finance BlogMachine Learning SoftwareOpen Market DataQuant EducationQuant SoftwareReading listTuring Finance Scroll to top Top 11 Testing the Random Walk Hypothesis with R, Part One... November 20, 2016 | StuartReid 7 The Promise of Computing September 19, 2016 | StuartReid 17 Lossless Compression Algorithms and Market Efficiency?... April 18, 2016 | StuartReid 28 Stock Market Prices Do Not Follow Random Walks... February 8, 2016 | StuartReid 12 How to be a Quant October 7, 2015 | StuartReid 40 Hacking the Random Walk Hypothesis September 15, 2015 | StuartReid 9 A Quant's view of CFA Level I August 3, 2015 | StuartReid Latest Posts ← More Headlines Latest Posts Algorithmic TradingArtificial IntelligenceComputational EconomicsComputational FinanceComputational InvestingComputer ScienceNeural NetworksPython Fitness Landscape Analysis for Computational Finance June 29, 2015 | StuartReid | 11 Comments Some of the most interesting new research coming out of the Computational Intelligence Research Group (CIRG), which is applicable to numerous computational finance and machine learning optimization problems, is the development of fitness landscape analysis techniques. Fitness landscape analysis aims to characterize high dimensional ... Read More A Recipe for the 2008 Financial Crisis May 5, 2015 | StuartReid | 13 Comments Warning: preg_replace(): The /e modifier is no longer supported, use preg_replace_callback instead in /home/customer/www/turingfinance.com/public_html/wp-content/plugins/latex/latex.php on line 47In 2008 when the market crashed I was 16-years old and visiting London for the very first time. At that age I was already obsessed with the markets. Feeling confident that I could understand the crash after having read the classic investment books such ... Read More Random walks down Wall Street, Stochastic Processes in Python April 7, 2015 | StuartReid | 33 Comments James Bond is not a quant, but many famous quantitative fund managers enjoy playing poker in their spare time. Stochastic processes can be used to model the odds of such games. This article discusses some of the popular ... Read More Monte Carlo K-Means Clustering of Countries February 9, 2015 | StuartReid | 20 Comments In the first part of this three-part series, What Drives Real GDP Growth?, I identified four themes which drive real GDP growth. These themes are based on 19 socioeconomic indicators whose average Spearman and Pearson correlations to real GDP growth were statistically ... Read More What Drives Real GDP Growth? January 15, 2015 | StuartReid | 6 Comments Econometrics is the application of statistical and computational techniques to the study of economic data. It differs from classical economics in that it is based on empirical findings rather than theories. One benefit of this approach is that ... Read More Dimensionality Reduction Techniques October 27, 2014 | StuartReid | 14 Comments The curse of dimensionality is the phenomena whereby an increase in the dimensionality of a data set results in exponentially more data being required to produce a representative sample of that data set. To combat the curse of dimensionality, numerous linear and non-linear dimensionality reduction ... Read More All Models are Wrong, 7 Sources of Model Risk September 6, 2014 | StuartReid | 10 Comments The 2008 financial crisis revealed to the world (in spectacular fashion) the fragility of financial models. Since the financial crisis two words have come up time and time again: model risk. This article defines model risk and discusses some of the contributors ... Read More Computational Finance at IEEE WCCI 2014 July 27, 2014 | StuartReid | 3 Comments I recently had the awesome opportunity to present my honours research at this years IEEE World Congress for Computational Intelligence conference (IEEE-WCCI) in Beijing. My trip was sponsored by the University of Pretoria's Computational Intelligence Research Group (CIRG) so ... Read More Regression analysis using Python June 7, 2014 | StuartReid | 18 Comments This tutorial covers regression analysis using the Python StatsModels package with Quandl integration. For motivational purposes, here is what we are working towards: a regression analysis program which receives multiple data-set names from Quandl.com, automatically downloads the data, analyses it, and plots the results ... Read More 10 misconceptions about Neural Networks May 8, 2014 | StuartReid | 58 Comments Neural networks are one of the most popular and powerful classes of machine learning algorithms. In quantitative finance neural networks are often used for time-series forecasting, constructing proprietary indicators, algorithmic trading, securities classification and credit risk modelling. They ... Read More Simulated Annealing for Portfolio Optimization March 15, 2014 | StuartReid | One Comment This article applies the Simulated Annealing (SA) algorithm to the portfolio optimization problem. Simulated Annealing (SA) is a generic probabilistic and meta-heuristic search algorithm which can be used to find acceptable solutions to optimization problems characterized by a large ... Read More Computational Decision Making Methods February 13, 2014 | StuartReid | 2 Comments Artificial intelligence is broadly defined as the ability of an agent or a model to make either optimal or satisficing decisions. Decision-making in this context is a process which culminates in the selection of a particular course of ... Read More Graph Theory for Systemic Risk Models January 29, 2014 | StuartReid | 5 Comments The markets around the world are highly connected. The risk that the entire financial system crashes as a result of the failure of one or more entities is called systemic risk. The 2008 Financial Crisis demonstrated first hand ... Read More Agent-based Computational Economic Models January 13, 2014 | StuartReid | 3 Comments Economists subscribe to many often contradictory schools of thought. This results in businesses and governments adopting economic policies whose consequences are neither agreed upon nor understood. Furthermore, because the economy is actually a complex adaptive system most traditional economic ... Read More Portfolio Optimization Using Particle Swarm Optimization December 22, 2013 | StuartReid | 23 Comments My research topic for this year was Currency Carry Trade Portfolio Optimization using Particle Swarm Optimization (PSO). In this article I will introduce portfolio optimization and explain why it is important. Secondly, I will demonstrate how particle swarm ... Read More Algorithmic Trading System Architecture November 6, 2013 | StuartReid | 20 Comments Previously on this blog I have written about the conceptual architecture of an intelligent algorithmic trading system as well as the functional and non-functional requirements of a production algorithmic trading system. Since then I have designed a system architecture ... Read More Algorithmic Trading System Requirements October 6, 2013 | StuartReid | 6 Comments Currently I am taking a class about software architectures. For this class each student chooses a system, defines its architectural requirements, and designs a solution capable of satisfying those requirements. I chose an algorithmic trading system because of ... Read More BRICs Economic Forecasting using Neural Networks September 18, 2013 | StuartReid | 6 Comments This weekend I finished an interesting research assignment in which I used five computational techniques to train artificial neural networks to forecast the 2011 GDP growth rates for Brazil, Russia, India, China, and South Africa (BRICS nations). The ... Read More Measures of Risk-adjusted Return September 1, 2013 | StuartReid | 18 Comments This article is a supplement to some of the topics presented in Dr. Tucker Balch's online MOOC, Computational Investing. Financial markets are complex adaptive systems which are almost always indistinguishable from random processes. That said markets do exhibit quantifiable factors such ... Read More Perfect Imperfection, Agent Based Models August 16, 2013 | StuartReid | 12 Comments When I was 17 years old the Boy Scouts of America invited nine international delegates and I to present at a conference and partake in a 7-day 100 kilometer hike through the Rocky Mountains on the Philmont Scout Ranch. In the week prior ... Read More Intelligent Algorithmic Trading Systems July 7, 2013 | StuartReid | 8 Comments Algorithmic trading is the use of computer algorithms to automatically make trading decisions, submit orders, and manage those orders after submission. Algorithmic trading systems are best understood using a simple conceptual architecture consisting of three components which handle different ... Read More Using Genetic Programming to evolve Trading Strategies June 3, 2013 | StuartReid | 22 Comments A friend and I recently worked together on a research assignment where we successfully used Genetic Programming (GP) to evolve solutions to a real world financial classification problem. This problem, called security analysis, involves determining which securities ought to ... Read More Clustering using Ant Colony Optimization April 15, 2013 | StuartReid | 12 Comments For many years entomologists have studied the behaviour of ant colonies and marveled at their ability to solve complex problems collectively. An example of this collective intelligence observed by entomologists is that ants leaving their colony will often follow very efficient routes between ... Read More More Headlines The State of Turing FinanceDear Readers,In 2016 I stopped contributing to Turing Finance for career reasons. I had hoped to someday resume the blog, but my interests have evolved, and it would not be fair to you.So, I have instead decided to build a new community over at nosible.com. This blog will remain up indefinitely, but it is, for all intent and purposes, shut down and will not be revived.If you are interested in following my thoughts, you are welcome to follow the nosible blog or follow me on Twitter. Thank you for all the support over the years, you are awesome.Yours sincerely, Stuart Reid Most Popular Posts10 misconceptions about Neural NetworksRegression analysis using PythonAlgorithmic Trading System ArchitectureRandom walks down Wall Street, Stochastic Processes in PythonStock Market Prices Do Not Follow Random WalksMost Recent PostsTesting the Random Walk Hypothesis with R, Part OneThe Promise of ComputingLossless Compression Algorithms and Market Efficiency?Stock Market Prices Do Not Follow Random WalksHow to be a QuantBlogrollAlex Chinco's BlogColah's BlogCompounding My InterestsErnie ChanExplained VisuallyFlirting with ModelsGekko QuantGestaltuOff The Convex PathPhilosophical EconomicsQuandlQuant at RiskQuant DareQuantInstiQuantocracyQuantopianQuantpediaQuants PortalQuantStartQuantStrat TradeRRobot WealthSebastian RashkaThe Alpha ArchitectThe Financial HackerPopular TagsAgent-based Computational EconomicsAgent Based ModelAlgorithmic TradingAlgorithmic Trading SystemsAnt Colony OptimizationArtificial IntelligenceComputational EconomicsComputational FinanceComputational InvestingCorrelation AnalysisEconomic Forecasting Neural NetworkEfficient Market HypothesisGenetic ProgrammingMachine LearningNeural networkparticle swarm optimizationPortfolio optimizationQuantitative MethodsRandomness TestsRandom Walk HypothesisRegression AnalysisRStatsSelf Organizing MapStochastic ProcessSwarm Intelligence