Continuing with baseline methods for comparison… Decision trees have been studied for decades, and innumerable enhancements have been proposed. Unfortunately, this complicates the situation.
Decision tree regression
k-Nearest neighbors
KNN is simple. I’m interested in trying it because it seems like the way some traders think. In interesting situations, they think back to other stocks that were in a similar situation in the past and bet on a similar outcome. The trick is knowing what aspects of a situation are really useful for prediction.
Continue readingOrdinary least squares linear regression
Multiple regression is the ubiquitous workhorse of most scientific fields. The solution form is interpretable. It is very efficient to solve due to the simple closed-form solution. For massive datasets, finding the solution can even be parallelized using map-reduce.
Handcrafted model baseline
My current model for dataset-1 is handcrafted, but calibrated on the data. I won’t say too much about this method, except that it is very opinionated. In the Bayesian spirit, I bring domain knowledge into the mix and let the data update my priors. Every part of the model can be visualized and explained.
Continue readingPoor man’s cluster
This part might just be me cargo-culting, but I feel like every research operation needs a compute cluster. Any self-respecting quant should be able expand their computational needs to fill an arbitrarily large number of servers. The cluster I’ve just built is a low-budget clunker, made of a motley bunch of leftover and refurbished servers, linked together with parts off eBay. But I’m very proud of it!
Continue readingReviews of distributed filesystems
I have a lot of data to work with, and I want to do it with just my mismatched bunch of servers, desktops, SSDs, and spinning disks. My equipment is old, so I want a filesystem that is robust not only to the failure of any drive, but also to the failure of any one machine. My preference is to build a hyper-converged system, where each machine hosts data in addition to working on compute jobs. Following are reviews I found on the main open-source distributed filesystems out there:
Continue readingKickstarting from my DD-WRT router
Kickstarting is a convenient way to install an operating system on multiple machines without the need to manually interact with the installation process. After a few hiccups I was able to get everything to run from my router with no other network servers necessary.
Continue readingSecuring a research VLAN on a retail router with DD-WRT
I’m building a lean research operation, and I don’t really have need of a high-end firewall, along with the associated licensing costs. So, I’ve decided to try firmware-modding a retail router. I’m hoping it will be an inexpensive way to increase security and get a few more features than a typical WiFi router.
After a bit of reading, I settled on the Netgear Nighthawk R7000, partly because it was in stock at Walmart. Right on the box, it promotes a firmware-modding website run by Netgear. It is compatible with DD-WRT, which has some nice features.
