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楼主 |
发表于 2013-7-22 07:55 PM
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本帖最后由 wsjboy 于 2015-4-8 01:46 PM 编辑
How I predict?
1) using Matched Pattern from 2000 stocks in last 5 years, matched the pattern of SPX over last 3 days, found similar patterns.
2) Use all matched patterns and perform Markov Chain Monte Carlo simulation, burning-in of first 1000 simulation to reduce predict errors.
3） APPLIED different weight, most recent data with higher weight and perform Bayesian adjustment.
4) Perform Bootstrap simulation to get p values and prediction confidences.
Knowledge need: Bayesian Analyses, Linear model, Pattern analyses, MCMC simulation, Bootstrap simulation, SAS, JAVA, GRAPH, finance knowledge....
Each run cover 2000 stocks*average 30 matched patterns*10000 MCMC simulations * 10000 Bootstrap simulations.
If you have better suggestion, welcomed to suggest.
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The basic assumptions are:
1) MM will repeat their manipulations over history.
2) There are no sudden un-predicted big events happened. |
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