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Book Forecasting and Hedging in the Foreign Exchange Markets (Lecture Notes in Economics and Mathematical Systems) by Christian Ullrich (2009-06-12)

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Forecasting and Hedging in the Foreign Exchange Markets (Lecture Notes in Economics and Mathematical Systems) by Christian Ullrich (2009-06-12)

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    Available in PDF - DJVU Format | Forecasting and Hedging in the Foreign Exchange Markets (Lecture Notes in Economics and Mathematical Systems) by Christian Ullrich (2009-06-12).pdf | Language: UNKNOWN
    Christian Ullrich(Author)

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  • By Hertzberg on April 10, 2012

    I ordered this book to get some info on how others are using SVMs on financial problems, which isn't asking for very much. To little surprise, the book does delivers on my requirement, but it does not deliver very much value in addition to this and I would hesitate to recommend to others.The book - based on the authors PhD thesis in Computer Science - provides very little introduction to SVMs, so if you want to learn about SVMs then do it somewhere else (e.g. Learning with Kernels by Schlkopf or - for the bare essentials - Machine Learning by Marsland). This text offers no pedagogical gain after reading any one of these books.Even though there is not that much written on applying SVMs to trading in the academic literature, it has been used in the industry for a number of years now and the book is little more than simply documenting how a first attempt at using SVMs on trading FX would look like. It's a single attempt, not wisdom learnt over years of using SVMs.One of the potential benefits of the text is that, even though it does not include any code on the backtesting, the analysis was performed in R using two packages so you should be able to reproduce the results (more or less) using these packages and your own data. However, there is little in the text to guide you on how to actually do this.This book is probably best left for those who are interested in applying a fully developed SVM framework/software to FX trading problems with little interest in really understanding how SVMs work or doing any implementation themselves. It offers a quick peak at SVMs with much of the CompSci jargon included, unedited, which may have some appeal to some readers. For me it fell short of being a book I would recommend to anyone else, but it is well written and does offer some reasonable value.


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