AmiBroker Users' Knowledge Base

October 18, 2007

Statistics Resources For Traders

An unqualified, unordered, list of statistical resources that have relevance to trading.

The list is dynamic and subject to change without notice.

NOTE – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES, NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.

THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

MISCELLANEOUS ARTICLES

1. Link to a short introductory article on the pitfalls of Neural Networking "A Little Knowledge Can Be A Dangerous Thing" by Dr. Halbert White: http://www.secondmoment.org/articles/ann.php

2. Link to a short introductory article on over-fitting data "Reality Check for Data Mining" by Dr. Halbert White: http://www.secondmoment.org/articles/datamining.php

3. Link to a short introductory article on managing missing data "The Curse of the Missing Data" by Yong Kim: http://www.secondmoment.org/articles/missingdata.php

4. Link to a dictionary level definition of the statistical P-value: http://en.wikipedia.org/wiki/P-value

5. Link to the Home Page of the The American Finance Association (AFA): the premier academic organization devoted to the study and promotion of knowledge about financial economics: http://www.afajof.org/default.asp

Publishers of the Journal of Finance:

search or browse back issues,
free to students,
reasonably priced for others,
registration by international visitors accepted.

6. Link to an overview of Technical Analysis: http://en.wikipedia.org/wiki/Technical_analysis

7. Link to a short, mathematically orientated, article on trend analysis (includes links to regression and least squares methodology): http://en.wikipedia.org/wiki/Trend_estimation

BOOKS

DRAFT – SUBJECT TO CHANGE – IT IS POSSIBLE THAT REVIEWS WILL BE ADDED AT SOME TIME IN THE FUTURE.

1) Aronson – Professor David R, "Evidence-Based Technical Analysis", John Wiley & Sons Inc, 2007.

http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741/ref=pd_sim_b_img_4

Link to Professor Aronson’s Home Page: http://www.evidencebasedta.com/

Professor Aronson has a long term interest in applying "data mining and non-linear predictive modelling to the development of systematic trading methods".

His web-site includes links to two downloadable PDF’s:

Monte Carlo Permutation Evaluation of Trading Systems
Reader Questions & Answers

_{(Thanks to Whitney Broach who first introduced the author to Aronson’s work via the AmiBrokerYahooGroup).}

2) Bandy – Doctor Howard B,"Quantitative Trading Systems", Blue Owl Press, 2007.

Link to Doctor Bandy’s home page: http://www.quantitativetradingsystems.com/index.html

3) Bernstein – Peter L, "Against The Gods", John Wiley & Sons Inc, 1998.

http://www.amazon.com/Against-Gods-Remarkable-Story-Risk/dp/0471295639/ref=pd_sim_b_img_1

4) Katz – Jeffy Owen and McCormack – Donna L, " The Encyclopedia of Trading Strategies", McGraw-Hill, 2000.

http://www.amazon.com/Encyclopedia-Trading-Strategies-Jeffrey-Owen/dp/0070580995/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1202289418&sr=1-1

5) Kaufman – Perry J, "New Trading Systems and Methods", John Wiley & Sons, Inc, 2005.

An intermediate level reference book that is up to the mark with the latest trading techniques. It isn’t a book specifically on ‘statistics for traders’ but it does include analysis, underpinned by sound logic and quantitative methodologies, on a wide range of trading related subjects.

http://www.amazon.com/New-Trading-Systems-Methods-Wiley/dp/047126847X/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1202293686&sr=1-1

6) Kennedy – Peter, "A Guide To Econometrics", T. J. Press Ltd, 1992.

http://www.amazon.com/Guide-Econometrics-5th-Peter-Kennedy/dp/026261183X/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1202292822&sr=1-1

7) Kestner – Lars N, "Quantitative Trading Strategies", McGraw-Hill, 2003.

http://www.amazon.com/Quantitative-Trading-Strategies-Irwin-Traders/dp/0071412395/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1202292735&sr=1-1

8a) Pardo – Robert, "Design, Testing, and Optimization of Trading Systems", John Wiley & Sons, Inc, 1992.

http://www.amazon.com/Design-Testing-Optimization-Trading-Systems/dp/0471554464/ref=pd_bxgy_b_text_b

8b) Pardo – Robert, "The Evaluation and Optimization of Trading Strategies", John Wiley & Sons, Inc, 2008?

http://www.amazon.com/Evaluation-Optimization-Trading-Strategies-Wiley/dp/0470128011/ref=pd_sim_b_img_16

Link to Bob Pardo’s Home Page: http://www.pardocapital.com/

9) Stridsman – Thomas, "Trading Systems That Work", McGraw-Hill, 2001.

http://www.amazon.com/Trading-Systems-That-Work-Evaluating/dp/007135980X/ref=pd_sim_b_img_1