Quantitave Trading Techniques Recap and Questions

Hi ETers,



I'd like to review techniques relating to quantitative trading.



1. Stochastic Calculus



I understand it's uses for assets and options pricing, but have anybody

successfully use it for alpha generation in futures or fx trading ?



I came across this

http://ift.tt/1rGhix0



After trying to implement the model outlined in the above paper, My resulting

model ends up generating signals very similar to an EMA cross.



Can the wizards in ET show me where I went wrong ?



Also there is a relatively new paper by Steve Shreve.



http://ift.tt/1nHuuDU



Too many maths, my head hurts, what does the above paper means ?

But Steve says that futures is an arithmetic brownian motion,

contrary to the DB quant in the first paper that assumes a gemoetric brownian motion.



Which one do you guys use for your models ?



Anybody using the discrete binomial or trinomial model ?





2. Genetic Programming



I've had some luck using this approach, any tips on setup you guys use for

distributed GP ? I'm using a java base JNI approach.





3. Neural Network



Having used NN for various pattern recognition work in the past I fail

to find its use for financial time series. If any NN users here can explain how they use it to trade



4. SVM



Got some intresting results using SVM with a linear kernel. Whats your experience ?

any suggestions on kernel type and c value ?





5. Clustering



For me i'm still using normal k-means, what are others popular clustering method

for financial time series ?



6. Bayesian Statistics.



Anybody using this in their model ?







7. Backtesting Platform for tick data



I'm using Multicharts.Net with bar magnifier, what about other ETers ?





I hope the masters of the universe in ET can chime in and start the ball

rolling here