Dec

26

This report "Trading With SVMs: Performance" sounds very interesting. The result on trading the S&P500 (without leverage, I think) since 1952 is 32.59% of annualized return while during the same period Buy&Hold is only 15.14%.

Here is Wikipedia's article on SVMs.

I wonder if anyone has used SVMs in real trading. Could you kindly share any experience about it?

Victor Niederhoffer writes: 

One of my very rare strengths counterbalanced by many much more glaring weaknesses is that I can usually look at any paper in statistical finance and find its weaknesses in 30 seconds or less. I looked at support vector machines in that context and could not figure out why it should do better than discriminant analysis or similarity analysis. I was turned off by the statement that armi garch results using the last 5 changes gave similar alluring results, as I don't believe they will work unless they are retrofitted during particular periods. The non-linear features that SVM tries to capture would not be predictable or repeatable I would think nor would it in any case be immune to ever changing cycles. I will look at this much more carefully with the doc before I can render a totally worthless opinion on this. 


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