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by Stale
April 10th, 2013, 7:23 am
Forum: Book And Research Paper Forum
Topic: Best resources for commodity swaps?
Replies: 3
Views: 9252

Best resources for commodity swaps?

For instance, all forwards on power is actually a swap, with a payout over a period and not as a single point. You would then go ahead an model the spot price process, and the rest is discounting and averaging over a period.
by Stale
March 11th, 2013, 6:32 am
Forum: Numerical Methods Forum
Topic: Data Reduction using Discrete Wavelet Transform
Replies: 24
Views: 11021

Data Reduction using Discrete Wavelet Transform

Wavelets are a time-frequency decomposition of your time series. It will split your time series into different components.As such it won't reduce your dataset unless you drop one of these components, so reduction of data requires you too loose something.S
by Stale
February 6th, 2013, 4:04 pm
Forum: Programming and Software Forum
Topic: Quantopian Zipline Algo Trading Library (Python)
Replies: 6
Views: 12824

Quantopian Zipline Algo Trading Library (Python)

<t>Looks OK for backtesting I would say. Like the way they apply decorators to functions to implement windowing etc. Downside is that it's kind of specific to the platform with the SIDs, but I guess you could change that in your own code. Another thing is that I would have thought that support for g...
by Stale
February 6th, 2013, 8:09 am
Forum: Programming and Software Forum
Topic: Quantopian Zipline Algo Trading Library (Python)
Replies: 6
Views: 12824

Quantopian Zipline Algo Trading Library (Python)

I've taken a look - the code is quite dense in some areas, with lots of yields. Looks good though, but not sure how it will fit into a real-time system?? You any thoughts?
by Stale
January 27th, 2013, 11:55 am
Forum: Off Topic
Topic: Best Worst Songs Ever
Replies: 341
Views: 23824

Best Worst Songs Ever

Billy Idol - Crade of Love
by Stale
December 11th, 2012, 4:52 pm
Forum: Trading Forum
Topic: wavelets or hht filter?
Replies: 12
Views: 11034

wavelets or hht filter?

<t>Basically, you can think of the wavelet transform as a FFT-transform that also show time-dependency of the frequency spectrum. The different subbands (or scales in the picture below, along the y-axis) will then have temporal properties which you could analyse for trends on different scales.There ...
by Stale
December 11th, 2012, 4:35 pm
Forum: Trading Forum
Topic: wavelets or hht filter?
Replies: 12
Views: 11034

wavelets or hht filter?

Why look at derivatives? Why not just look at the different bands of the transform for starters? If you were doing signal processing you would mess around with the subbands to get what you want..
by Stale
December 11th, 2012, 2:53 pm
Forum: Trading Forum
Topic: wavelets or hht filter?
Replies: 12
Views: 11034

wavelets or hht filter?

Hi,As you know the wavelet transform maps your time series to scale and time. Different scales might give you insight to trends of various length. Stale
by Stale
December 2nd, 2012, 2:54 pm
Forum: Student Forum
Topic: STATISTICS - determine which variable is more explicative
Replies: 5
Views: 9392

STATISTICS - determine which variable is more explicative

The t-stats of each of the independent variables (in the bivariate case)? Beware of multicolinarity.
by Stale
October 29th, 2012, 9:23 am
Forum: Book And Research Paper Forum
Topic: intro to measure theory
Replies: 17
Views: 17070

intro to measure theory

<r>This one isn't half-bad either:<AMAZON id="3540438718" tld="uk" url="http://www.amazon.co.uk/Probability-Essentials-Universitext-Jean-Jacod/dp/3540438718/ref=sr_1_1?s=books&ie=UTF8&qid=1351506205&sr=1-1"><URL url="http://www.amazon.co.uk/Probability-Essentials-Universitext-Jean-Jacod/...
by Stale
September 24th, 2012, 6:15 pm
Forum: Trading Forum
Topic: Advise on HF Platform/Backtest trading dev book
Replies: 17
Views: 13024

Advise on HF Platform/Backtest trading dev book

<r>Take a look at this for a birds eye view: <URL url="ftp://ftp.cs.utexas.edu/pub/techreports/honor_theses/cs-06-14-ignatovich.pdf"><LINK_TEXT text="ftp://ftp.cs.utexas.edu/pub/techreports ... tovich.pdf">ftp://ftp.cs.utexas.edu/pub/techreports/honor_theses/cs-06-14-ignatovich.pdf</LINK_TEXT></URL>...
by Stale
September 23rd, 2012, 9:15 am
Forum: Trading Forum
Topic: Advise on HF Platform/Backtest trading dev book
Replies: 17
Views: 13024

Advise on HF Platform/Backtest trading dev book

<r>By all means this, this is not an exellent book. Managed C++? WTF? Then again, if you are fairly new to programming and domain specific stuff for trading, you can get an overview of methods applied all wrapped up in one book. Sometimes a flawed book is better then none, especially if there are no...
by Stale
September 21st, 2012, 10:24 am
Forum: Trading Forum
Topic: Advise on HF Platform/Backtest trading dev book
Replies: 17
Views: 13024

Advise on HF Platform/Backtest trading dev book

<r>Hi,There is also this book, that that's more basic level stuff..<AMAZON id="0750682515S" url="http://www.amazon.com/Building-Automated-Trading-Systems-Introduction/dp/0750682515Stale"><URL url="http://www.amazon.com/Building-Automated-Trading-Systems-Introduction/dp/0750682515Stale"><LINK_TEXT te...
by Stale
September 21st, 2012, 10:21 am
Forum: Programming and Software Forum
Topic: OpenCV
Replies: 7
Views: 11881

OpenCV

You could use it to guard your desk in a similar fashion like this guy is doing..
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