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ideas for algorithms

A recent reddit post on the algotrading sub-reddit is about a survey paper of 100+ prediction techniques, which could be a great source of ideas for algorithms to implement here. Here is the paper:

And I found it here:


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2 responses

Hello Fawce,

Your post reminded me of a site I'd bookmarked awhile back when I saw it in the news...not sure if it'd be useful in developing trading algorithms, but I thought I'd share it since it is a recent innovation. The site, along with some related links:

A "Python wrapper" is available here:

@Grant, fascinating paper! I had read about the two brothers in the popular press, but this is the first time I've read anything about the MINE/MIC algorithm. They provide an intuitive explanation at the beginning of the article (third link in your list).

The benefit of the technique is looking for fit, regardless of the relationship between variables. To be of big benefit we would need data where we could imagine finding non-linear relationships - otherwise I would imagine it is computationally cheaper to just test a linear regression (though I don't know if that is true).