Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I.e. places with defined risk where you will know if you’re wrong if it goes against you by x% while you expect a y% gain if you’re right AND y>x is worth more than the number of times you’re wrong. The types of Algos that work well for this are edge id…
Time Series Prediction Using LSTM Deep Neural Networks
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Re: Time Series Prediction Using LSTM Deep Neural Networks
#12Re: Time Series Prediction Using LSTM Deep Neural Networks
#13Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I.e. places with defined risk where you will know if you’re wrong if it goes against you by x% while you expect a y% gain if you’re right AND y>x is worth more than the number of times you’re wrong. The types of Algos that work well for this are edge id…
I agree.
I've built many systems in this area, but it wasn't until I started working in the Indian market (>10 yrs ago) that it became abundantly clear that trying to calculate the long/shorts signals using historical (/time series) data was a waste of time. (And yet my primary role was to provide tools that did exactly that).
Back then, in the indian market, you could see that most of the stocks, although skyrocketing upwards, all followed the slow vs fast moving averages to buy and sell! Back then, they weren't looking at RSI, stochastics, support lines, etc, etc. It was crazily predictable...but over time it was really interesting to see it become more haphazard and like western stocks. That is, the fundamentals came into play and as you say, the traders began to use other metrics to buy and sell.
Re: Time Series Prediction Using LSTM Deep Neural Networks
#14Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I.e. places with defined risk where you will know if you’re wrong if it goes against you by x% while you expect a y% gain if you’re right AND y>x is worth more than the number of times you’re wrong. The types of Algos that work well for this are edge id…
> Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I agree. I've built many systems in this area, but it wasn't until I started working in the Indian market (>10 yrs ago) that it became abundantly clear that trying to calculate the long/shorts signals using historical (/time series) data was a waste o…
Re: Time Series Prediction Using LSTM Deep Neural Networks
#15Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I.e. places with defined risk where you will know if you’re wrong if it goes against you by x% while you expect a y% gain if you’re right AND y>x is worth more than the number of times you’re wrong. The types of Algos that work well for this are edge id…
Better, why do people think they can predict long term dynamics of what is basically a chaotic system? I think finding some small local dynamics is fine, but applying a neural network to try say something about global long term dynamics complete garbage - ie long term weather simulation, stock markets etc. Chaotic systems can be deterministic, just that you will never be able to accurately measure all the variables t…
https://www.quantamagazine.org/machine-learnings-amazing-abi...
Re: Time Series Prediction Using LSTM Deep Neural Networks
#16So, curve fitting?
It connected with what i've heard Chomsky say about trying to develop laws of physics by filming what's happening outside the window. We need to do experiments and interventions to learn the dynamics of a system
"What do you think the role is, if any, of other uses of so-called big data? [...]
NOAM CHOMSKY: It’s more complicated than that. Let’s go back to the early days of modern physics: Galileo, Newton, and so on. They did not organize data. If they had, they could never have reached the laws of nature. You couldn’t establish the law of falling bodies, what we all learn in high school, by simply accumulating data from videotapes of what’s happening outside the window. What they did was study highly idealized situations, such as balls rolling down frictionless planes. Much of what they did were actually thought experiments.
Now let’s go to linguistics. Among the interesting questions that we ask are, for example, what’s the nature of ECP violations? You can look at 10 billion articles from the Wall Street Journal, and you won’t find any examples of ECP violations. It’s an interesting theory-determined question that tells you something about the nature of language, just as rolling a ball down an inclined plane is something that tells you about the laws of nature. Scientists use data, of course. But theory-driven experimental investigation has been the nature of the sciences for the last 500 years.
In linguistics we all know that the kind of phenomena that we inquire about are often exotic. They are phenomena that almost never occur. In fact, those are the most interesting phenomena, because they lead you directly to fundamental principles. You could look at data forever, and you’d never figure out the laws, the rules, that are structure dependent. Let alone figure out why. And somehow that’s missed by the Silicon Valley approach of just studying masses of data and hoping something will come out. It doesn’t work in the sciences, and it doesn’t work here."
- https://www.rochester.edu/newscenter/conversations-on-lingui...
It is actually a really interesting subject, marketing people doing a/b tests for ads/features seem at least a little closer to the experimental ideal, not just fitting curves to data
For further reading, I'd recommend the epilogue of Casuality (Pearl 2000), it's from a 1996 lecture at UCLA:
Re: Time Series Prediction Using LSTM Deep Neural Networks
#17Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I.e. places with defined risk where you will know if you’re wrong if it goes against you by x% while you expect a y% gain if you’re right AND y>x is worth more than the number of times you’re wrong. The types of Algos that work well for this are edge id…
Which means, regardless of your philosophy, you are predicting a price change - a long signal is a prediction for positive price change; a short signal is a prediction for a negative price change. If that wasn’t true, your system would not be able to profit.
Predicting price change and predicting price are semantically equivalent, although a specific algorithm might be better at one than the other.
Re: Time Series Prediction Using LSTM Deep Neural Networks
#18So, curve fitting?
exactly, Judea Pearl's The Book of Why opened my eyes to the fact that most of what happens in machine learning is really just curve fitting It connected with what i've heard Chomsky say about trying to develop laws of physics by filming what's happening outside the window. We need to do experiments and interventions to learn the dynamics of a system "What do you think the role is, if any, of other uses of so-called…
Re: Time Series Prediction Using LSTM Deep Neural Networks
#19Why does everyone naively try to predict price? No ‘traders’ are interested in predicting it - what traders do is identify good locations to enter or exit the market. I.e. places with defined risk where you will know if you’re wrong if it goes against you by x% while you expect a y% gain if you’re right AND y>x is worth more than the number of times you’re wrong. The types of Algos that work well for this are edge id…
Can you point to any good sources for this? A search for 'edge identification stocks' yielded mostly irrelevant results.
Talks about the Mean Shift algorithm described here: https://en.wikipedia.org/wiki/Mean_shift
Re: Time Series Prediction Using LSTM Deep Neural Networks
#20Earlier quoted context omitted.
Better, why do people think they can predict long term dynamics of what is basically a chaotic system? I think finding some small local dynamics is fine, but applying a neural network to try say something about global long term dynamics complete garbage - ie long term weather simulation, stock markets etc. Chaotic systems can be deterministic, just that you will never be able to accurately measure all the variables t…
There was a Quanta Magazine article talking about predicting the evolution of a flame-front using ML. The ML algorithm remained accurate for eight Lyapunov intervals; eight times longer than the previous SOTA. https://www.quantamagazine.org/machine-learnings-amazing-abi...
But if you have the time having the actual equations is more valuable?