Browsing by Author "Gebbie, Tim"

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    An online learning algorithm for technical trading
    (2019) Murphy, Nicholas John; Gebbie, Tim
    We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading strategy from the set of underlying trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. The resulting population time-series are investigated using unsupervised learning for dimensionality reduction and visualisation. A key contribution is that the overall aggregated trading strategies are tested for statistical arbitrage using a novel hypothesis test proposed by Jarrow et al. [31] on both daily sampled and intraday time-scales. The (low frequency) daily sampled strategies fail the arbitrage tests after costs, while the (high frequency) intraday sampled strategies are not falsified as statistical arbitrages after costs. The estimates of trading strategy success, cost of trading and slippage are considered along with an offline benchmark portfolio algorithm for performance comparison. In addition, the algorithms generalisation error is analysed by recovering a probability of back-test overfitting estimate using a nonparametric procedure introduced by Bailey et al. [19]. The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective.
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    Temperature anisotropies: covariant CMB anisotropies and nonlinear corrections
    (1999) Gebbie, Tim; Ellis, George; Maartens, Roy
    The questions I ask myself are generally all along the lines of "so where did all this structure come from?". I hoped that work in the CMB and its cosmological implications would give me insight into this. It is an adventure that is still young. I began my PhD with an investigation of some formal aspects of Ehlers-Ellis Relativistic Kinetic Theory in mind { the implications of the truncation conditions found in the exact theory. I ended up trying to calculate CMB anisotropies as an application of this beautiful and somewhat purist formalism. The Ehler-Ellis (1+3) Lagrangian approach to General Relativity (GR) and Relativistic Kinetic Theory (RKT) are apparently not well known nor well used and have only recently begun to show advantages over the more usual ADM and Bardeen perturbative approaches to astrophysical cosmology when combined with the Ellis Bruni perturbation theory.