I'm still trying to understand exactly how it works and I'm trying to
dust up a bit
on probability/stat,linear algebra, etc.
From a high level, I know It works by making predictions ( state of
system) and comparing predicted result to actual result and
then learning from that. So its a self-optimizing system. So what are
we to predict ? The book ? Makes no sense.
Price ? If that worked, we'd all be rich. I'm not sure how the "state
of the system" maps to JBT. It could be a vector of values that tells
us how much
money we would have gained by buying or selling , what the book
indicator is , and what the hold time is for the position. But I'm not
confident yet.
On 10/21/2010 5:13 PM, new_trader wrote:
I'm not convinced its a big task because we can treat is as a black box
and use some of the 3rd party implementations. I think it boils down to
figuring out how to apply it to JBT. For example, what is to be
estimated by
the filter ? Perhaps the price reactivity to book indicators ? If so,
the we
need an indicator for "price reactivity to book indicator."
sounds interesting - can you elaborate a bit more on this?
which ready-to-go implementation(s) would you favor/recommend?
what data from JBT - either native balance or price or preprocessed
and/or smoothed by some indicators - would we feed into such an
implementation?
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