Trading Systems : Theory and Immediate Practice

Part I -- 1 Processes -- 2 More About Independence -- 3 Conditional Probability in Practice -- 4 Stationary Processes -- 5 Normality -- 6 Trends -- 7 Autocorrelation -- 8 Ljung-Box -- 9 Periodogram -- Part II -- 10 Indicators -- 11 Process of the AR(p) type -- 12 Generalizations -- 13 The complete open-loop scheme -- 14 Physical realizability -- 15 The equity line -- 6 Predictions -- 17 Optimal AR(p) in practice -- 18 Maps in series -- Part III -- 19 Transfer Functions -- 20 Simple lag -- 21 Gauss Filters -- 22 Stability -- 23 Lag compensator -- 24 Lead compensator -- 25 RLC filter -- 26 Leading indicator -- 27 Regularized filter -- 28 High pass filter -- 29 Frequency transformation -- 30 Gaussianization -- Part IV -- 31 Feedback trading -- 32 Feedback systems -- Part V -- 33 State Space Approach -- 34 Sensitivity -- 35 Butterworth filter -- 36 Frequency response -- 37 Signal to noise ratio; tradability -- 38 Equity StN -- 39 Meyer’s optimum trading system