[R-SIG-Finance] modeling using the derivative or underlying
stephen at organicfoodmarkets.com.au
Thu Mar 17 21:46:16 CET 2011
I am working on using AI to build models to decide whether or not you
should be long/short/out of the market. I am playing with logistic
models and neural networks at this time, but there are a number of other
tree based or Bayesian models I could try in due course.
However, I was just wondering if anyone had any comments on which data
you are best using to build your models on. Say one is interested in
the SPI (or SPY): are you better using the index data even though you
will end up dealing in the future or some other derivative? What I have
in mind is that these things don't move in lock-step so there may be
different information in the data concerning the index and that
concerning the future of CFD, etc.
If anyone is interested in making a comment I would love to hear it.
Stephen Choularton Ph.D., FIoD
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