10/17/2011

Expert Trading Systems: Modeling Financial Markets with Kernel Regression Review

Expert Trading Systems: Modeling Financial Markets with Kernel Regression
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The book is actually quite good and Kernel Regression might very well be a good modelling technique. What destroys much of the credibility is that the author is actually the founder of a company that produces KR software. This fact isn't mentioned ANYWHERE in the book. The author just HAPPENS to use a specific software in all his examples. Guess what software? You have to go to the company website to find the connection.
If we set that aside, the book is well written and interesting. Not for the math impaired, though. University level math and statistics needed to be enjoyed in full.

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With the proliferation of computer programs to predict market direction, professional traders and sophisticated individual investors have increasingly turned to mathematical modeling to develop predictive systems. Kernel regression is a popular data modeling technique that can yield useful results fast.Provides data modeling methodology used to develop trading systems.* Shows how to design, test, and measure the significance of resultsJohn R. Wolberg (Haifa, Israel) is professor of mechanical engineering at the Haifa Institute in Israel. He does research and consulting in data modeling in the financial services area.

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