Testing the Random Walk Hypothesis with R, Part One... November 20, 2016 | StuartReid
The Promise of Computing September 19, 2016 | StuartReid
Lossless Compression Algorithms and Market Efficiency?... April 18, 2016 | StuartReid
Stock Market Prices Do Not Follow Random Walks... February 8, 2016 | StuartReid
How to be a Quant October 7, 2015 | StuartReid
Hacking the Random Walk Hypothesis September 15, 2015 | StuartReid
A Quant's view of CFA Level I August 3, 2015 | StuartReid
Fitness Landscape Analysis for Computational Finance
June 29, 2015 | StuartReid | 11 CommentsSome 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 CommentsWarning: 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 47
In 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 CommentsJames 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 CommentsIn 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 CommentsEconometrics 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 CommentsThe 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 CommentsThe 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 CommentsI 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 CommentsThis 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 CommentsNeural 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 CommentThis 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 CommentsArtificial 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 CommentsThe 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 CommentsEconomists 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 CommentsMy 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 CommentsPreviously 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 CommentsCurrently 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 CommentsThis 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 CommentsThis 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 CommentsWhen 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 CommentsAlgorithmic 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 CommentsA 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 CommentsFor 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