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FINANCIAL CHRONICLE™ » FINANCIAL CHRONICLE™ » Mathematical Modeling for Equity Trading

Mathematical Modeling for Equity Trading

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1Mathematical Modeling for Equity Trading Empty Mathematical Modeling for Equity Trading Sat Sep 03, 2011 11:36 am

Dileepa


Senior Manager - Equity Analytics
Senior Manager - Equity Analytics
This topic is little hard to digest and many think it is impossible to model markets like CSE.
But on the contrary, mathematical modeling can be used to simulate almost every thing in the universe.
There are many tools available for data mining and pattern recognition. Although retail investors don't use these tools a lot, Institutional investors dedicate much of their time and money on these.

This particular software was introduce to me by a friend of mine who use it for Forex trading.
It is called Eurequa and available free to download here : http://creativemachines.cornell.edu/eureqa
Eureqa is product of Cornell University, Creative Machines Lab.
It is very easy to use and they have videos demos here : https://www.youtube.com/watch?v=NhC1Qb-PQ5Q

The core concept of it is, for any graph (in our case share price vs time) there must be a mathematical function which could express it. On the other hand If there is a function, Its variables can be set to predict outcome of unknown circumstances.
Eureqa utilizes every last bit of processing power your computer has to find out that mathematical function. (you will get a better idea once you go through the tutorial)

I have no expert knowledge about this as I'm also at the binging stage.
Did a couple of trials to get to know the SW. Following are the screen shots of it.

Data set (I used NTB price data from Jan 2010 to May 2011)
Mathematical Modeling for Equity Trading Variab10
Data is self explanatory(see column header).
Also there was a discussion about in-put data here ↓
http://forum.srilankaequity.com/t4176-neural-network-approach-for-market-prediction-inputs

Equation editor: There are numerous permutations and combinations you can try. Who knows which work best. Some mathematical knowledge can be very useful here, but if you have a couple of i7 processors you can do a brute force(Eureqa can utilize multiple processors)
Mathematical Modeling for Equity Trading Equati10

Performance Statistics:
Mathematical Modeling for Equity Trading Perfor10

Solution : This is not the best solution of course. I got something like Price = 0.020457916*sma_var(M, 2.6153038) + sin(sma_var(V, 0.95265609)) - 0.0034790761*sma_var(M, 126.97508) - 39.772396 after few minutes, but this need to be run for hours and may be days. (still working on it)
Mathematical Modeling for Equity Trading Soluti10

smallville

smallville
Associate Director - Equity Analytics
Associate Director - Equity Analytics
Thanks for the educations effort u put in.. Really appreciate your hard work and wish the effort be a success..

So Eureqa use Regression techniques to find the correlations of data, hmm a nice tool it seems..

Have u tried the Mathlab for data forecasting? Apparently this has a plugin for it as well.. Wink

Anyways good luck and do post your future findings as well..

wallstreetguy


Senior Manager - Equity Analytics
Senior Manager - Equity Analytics
One rep from me, for your dedicated work. Very intresting

sas

sas
Senior Manager - Equity Analytics
Senior Manager - Equity Analytics
just downloaded software, looks WOW....!!! thanks for sharing mate. we'll see what can be done with it.
+ rep Very Happy

Roboticfx

Roboticfx
Senior Vice President - Equity Analytics
Senior Vice President - Equity Analytics
Hard work. That's very good my friend. I wondered about your dedication. Great! I will check this software later cuz of my connection limits. cheers

dimithridesilva


Senior Equity Analytic
Senior Equity Analytic
can anyone give more information about this software.....

RealViewer


Senior Equity Analytic
Senior Equity Analytic
Good work friend,

I tried the tool at glance. Seems cool.
Problem is to find the past data.

Keep it up

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