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Tag Archives: programming
Stock dynamics and entropy
Grails Finance 1.4
Entropy is the central entity in thermodynamics. The equivalent in finance would be information entropy. However, you don’t hear much about it. One could argue, that entropy is a measure of risk just like volatility. What are the [...]
Daily and weekly cycles of the Dow Jones
Grails Finance 1.3
The Elliott Wave Principle posits that there are at least 5 waves to be reckoned with. NBER has its own definition of business cycles, which are measured in months. I had a look at daily and weekly historical [...]
What are the periods of stocks?
Grails Finance 1.2
Or indices if they have any, that is. I invented my own algorithm to approximate periods of waves. Of course, there is also the Fast Fourier transform, which is a much better algorithm so I used that too.
Monte [...]
Scraping 10 years of historical data per security from NASDAQ
Grails Finance 1.1
You can like request 10 years of historical OHLC data from the NASDAQ website. That seems more than enough for all intents and purposes. Also you can download index composition details of the Dow Jones Industrial Average Index [...]
Overfitting to polynomials
Grails Finance 1.0
Overfitting occurs when a fit to historical data only works for the dataset used to fit the data. I am using polynomial fits up to the 4th degree, but in principle you could use any other sort of [...]
Are stock markets efficient?
Grails finance 0.9
According to theory a market is efficient, if it has random prices. So tests for market efficiency come down to testing for randomness. Obviously the same goes, if stock prices follow some distribution that is not random.
Services
So [...]
Can we predict stock prices with Grails Finance?
Grails Finance 0.8
Yes, we can. Not always correctly, of course. One way to predict things, is to try to find the probability distribution for a phenomenon. Usually a distribution is charted as a histogram, so that is what I did. [...]
Grails Finance Services
Grails Finance 0.7
I should have started with Grails services from the beginning. Services are just another layer in the architecture. Services can easily be injected, wherever you need them. I also ran into some trouble, because of upgrading to a [...]
Grails Finance 0.6 Testing
Testing, testing, 123 …
Test a little, code a little, go home, eat a little, sleep a little. This is the lifestyle recommended by the League of Agile Methodology Experts. That and wearing t-shirts with agile slogans printed on them and [...]
Grails Finance 0.5
Birth of a simulation engine
Mmm, okay, so it’s back to the drawing board for Design Phase Deux. I want to run trading simulation sessions using different strategies. Each session will consist of different runs, where certain parameter values will be [...]
