[R-SIG-Finance] Strategies based on Neural Networks (or SVMs) - any experience with R ?

[Brian G. Peterson]

On Mon, 2011-08-22 at 10:11 +0200, Gentil Homme wrote:
> I just send out this post in order to share within r-sig-finance any
> possible experience, advice, ... about NNs or SVMs with R.

It seems that you're asking us to share with you, and not sharing much
yourself in return.

Perhaps you could answer your own questions in this thread with the
things you are trying?

SVM's have been discussed on this list many times, please search the
list archives.

This blog has covered this topic:
http://www.aphysicistinwallstreet.com/

Also, there are a few books on machine learning that use R.   

> Several good records have been published in the litterature using these
> techniques for financial trading strategies.

Which ones? References?

> There are also commercial packages (expensive !) which seem to have achieved
> good results.

Which packages?  References again?

Note that neural network strategies are very likely to create look-ahead
bias as you develop and test them.  You try something, fail, and try
again on the same data.  Unless you are very careful to reserve a 'pure'
set of instruments and dates that you won't *ever* touch until you think
you have a 'good' machine learning system, you're at pretty serious risk
of introducing your look-ahead knowledge into the system.  While this is
true to one degree or another in any quantitative strategy development,
I think it is a particular risk in self-adaptive machine learning
methodologies.

 
> So I feel it could be nice to share within this group about the following
> subjects :
> 
> - experience using the R packages
> - data pre-processing before feeding the NNs (technical indicators,
> wavelets, EMDs, ....)
> - which type of NNs are suitable
> - how to build and train them
> - etc ...
> 
> Thanks to all for sharing within the R community

Now, your turn.  Bring the community up to date with your research so
far.  

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock