中田真秀(なかたまほ)のブログ

研究について、日常について、その他。

John Ehlersの新刊: Cycle analytics for traders

2013-11-30 17:22:50 | 日記

昨日John Ehlersの新刊: Cycle analytics for tradersが届いた。
http://as.wiley.com/WileyCDA/WileyTitle/productCd-1118728513.html

信号処理系はどうしても遅れがでてしまって、それが致命的。それでEURCHFトラリピ系自動売買にハマっていて、しばらく飽きていた。この本でもう少し回復するか。

バンドパスフィルタも入っているし、新しいアイディアもはいっているし、為替には応用できるかなと思っている。ただ、どうしても為替は動きが早く、また投機筋のランダムな仕掛けはなかなか読みづらい。

エーラース先生の考えかたは非常によくて、少し改善したものをさらに自分なりにアレンジしたインジケーターはよく使っている。

たとえばSVEのInverse Fisher,
http://blog.traderslibrary.com/sylvain_vervoort/2010/09/smoothed-rsi-inverse-fisher-transform-excerpt-from-sc-magazine.html
3rd gen MA
http://www.earnforex.com/metatrader-indicators/3rd-Generation-Moving-Average
(オリジナルはhttp://www.scientific-trading.com/avg3g.phpだが、こちらのほうが軽いし、ソースも付いている)

はかなりよい、と思う。

いずれにせよ出張ばかりで落ち着いて考えられない。研究もなんだか雑にしか考えてないものをバックグラウンドで走らせるみたいなことをしている。少し時間が欲しいな。

Supercomputing 13 (SC13) BoFでトークしてきました。

2013-11-29 09:39:00 | 日記
高精度計算のBoFやってきました。50人くらい来てくれて、あとでIntel MKLチームの人も質問にわざわざ会いに来てくれました。
なかなか興味深く聞いてくれました。MPACKの状況についてトークしました。

スライドはここから読めます。

以下アナウンス

Birds of Feather Session on high precision computing in Supercomputing '13
2013/11/20 Wed 12:15-1:15
Room 301/302/303 SC13(Colorado Convention Center, Denver)

====================================================================
Call for Participation for Birds of Feather Session in Supercomputing '13

We will have BOF session on high precision computing in the upcoming Supercomputing '13. The title of the session is "High Precision Arithmetic
Operations: Libraries and Applications".

Schedule and Room
Supercomputing '13, Colorado Convention Center, Denver Conference Dates:
November 17-22, 2013 The BOF will be November 20(Wed), 12:15-1:15 in room 301/302/303.

Scope
The emergence of large-scale and high-speed parallel computing forces us to consider, on a new level, rounding errors in repeated arithmetic operations. Many scientific and engineering problems rely on the numerical stability of the algorithms used, even with conventional "double precision"
arithmetic operations. The development of techniques that are truly high precision is important to solve very compute-intensive problems, while an extreme solution is to implement "high precision" arithmetic as hardware.

In the BOF session, researchers working on high precision arithmetic techniques and applications will meet and present recent progress. We are convinced of the importance of the opportunity through experiences in the past three workshops on the high precision approaches in the scientific and engineering computing field (http://suchix.kek.jp/mpcomp/en/).

Agenda
We have asked the following three speakers to report the latest development.

1. M.Nakata (RIKEN)
2. D.Takahashi (University of Tsukuba)
3. D.H.Bailey (Lawrence Berkeley National Laboratory)

*Speaker Introduction

NAKATA Maho is a technical scientist at RIKEN, and also a visiting associate professor at Rikkyo University. He is the leading developer of MPACK library, multiple precision version of BLAS and LAPACK.
He gained an interest in high precision computation while applying it to theoretical chemistry and mathematical optimization.

Daisuke Takahashi is a professor at the Faculty of Engineering, Information and Systems, University of Tsukuba. He received his Ph.D. degree in information science from the University of Tokyo.
His research interests include high-performance computing.

David H. Bailey is recently retired from the Lawrence Berkeley National Laboratory, and is also affiliated with the University of California, Davis.
He has been a leading figure in the high-performance computing world, and also in the arena of high-precision computation.

In the rest of the session, we call for comments, questions and discussions from the floor.
We will ask BOF attendees the following questions:
(a) is your application numerically unstable in a standard precision
(e.g. double precision)?
(b) how many digits do you think to solve your numerically unstable problem?
(c) what compiler/library/software support do we need to practically use
high precision arithmetic?
(d) do we need the support in hardware for high precision arithmetic?
Also, we would like to discuss on possible future collaborations and other opportunities to gather the experts on high precision arithmetic.

We believe this BOF will give a very good chance for researchers on working on high precision libraries and applications to share knowledge.

Session Leaders and organizers
N.Nakasato (University of Aizu) and F.Yuasa (KEK) M.Nakata(RIKEN), H.Matsufuru and T.Ishikawa (KEK)

Contact e-mail address: scbof@ml.post.kek.jp

See also http://suchix.kek.jp/mpcomp/