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Thunderdog, there are some decent models based on marked point processes that explain a surprising amount of real-life trading processes. You are right though, in that most models come nowhere close to modelling real life. Complexity theory is really interesting stuff though, agent based...

Nitro, I'm not being facetious here. But I'd be curious to know what types of math you studied, and whether you got a degree in mathematics, or taught yourself?

Yeah, I was just using it as an example of something complicated that the general public kind of 'knows about', but which is very complex so they cant really understand it.

Funny you mention that, there are 'optimal' ways to design controllers for race-cars that are optimized via simulation where the driver races around computer modeled tracks and detailed physics simulations to find all the optimal parameters of the car configuration. Application of automatic...

Of course it is, who in their right mind would want to discuss the real details of their system? Basic questions need basic answers, it helps to understand this stuff but it's not gonna get you there by itself. And yes, ET is a bit too low-brow (not aimed at any of you guys in this...

Hmm, I get most of my stuff from journals.. and none of the papers really jumped out at me. It was more of a cumulative understanding of hundreds of papers, a few books , coding, playing around with software and developing and intuitive feel of 'how stuff works'. Just do a google search for...

Huh? Lack of rigor... thats funny I'm far more rigorous than most, where did I say I wasn't rigorous? All the rigor in the world isn't going to help if your assumptions are flawed from the beginning. Again, assumptions must be made at some level, even if you dont consciously realize you...

That's a pretty amazing feat nonsense, I believe you are the first person ever to exist without making assumptions. Maybe you should let everyone know that Gödel was wrong..

Have you ever considered that these two "types" are not types at all, and they can be estimated or 'grown' simultaenously? Perhaps your apriori assumption that these two steps are seperate has led you to believe that these methods have no use. So, what does work for you?

Yes.. your optimization criteria is just as important as the data that goes in to your model. When defining the function, the sky is the limit as to how you want to optimize. My trade executions are optimized (along with all the fee structures on all the various market places) along with...

Great post.. any time you make apriori assumptions about the data, you are introducing what is known as bias into the model, your model will be biased towards your presuppositions. I try to focus extremely hard on explicitly writing down all assumptions.. assumptions must be made at some...

I'm not worried about it, and that is precisely my point, and humans in general CAN be good at overfitting if they think about what they are doing. Just look at the graphs showing the relations of # of pirates existing in the world to the rise in global sea temperature, if you make any...

Yes, of course it is incredibly hard to reverse this process, some of the worlds brightest minds have been working on this problem intensely, with lots of amazing discoveries made in the last few years. Degrees of freedom: The number of degrees of freedom in a problem, distribution, etc., is...

Commissions are ok but the API limits your message rate to 50 per sec so you can lag in fast markets, also, it requires TWS to be running in the background last I checked so it isn't quite a 'pure api'.

Lime Java API, not tied to any specific software or platform, fast.

Many degress of freedom and overfitting do not mean the same thing. Think of it, the human brain is the best curve-fitting machine known to exist and it is very good at generalization.

Lime has an excellent feed + java api, not arbitrarily limited.

Very good points, man. It basically comes down to two extremes: hacker and theoretician. The hacker 'just does', and this is the easier thing because all you need is dedication and a computer. I traditionally fall under this category because all my computer skills are self-taught. The...

The military and space industry use neural nets for all sources of very difficult nonlinear control problems. A coworker of mine used to work for boeing taking AI theory and working with other researchers to turn it into application. Some of the models to fly a jetliner took nearly a week to...

lol, nonsense, you're a character. but in principle I guess in the future machines will be able to judge people to be lacking mental capability, barring of course any nuclear wars or epidemics that wipe out mankind, or asteroids hitting the planet, or gun toting rednecks in control of the...