Pattern Recognition Proposal

Posted by Pawit Khid-arn on
URL: http://quantlib.414.s1.nabble.com/Pattern-Recognition-Proposal-tp6176.html

Dear QuantLib Users,

 

First, I would like to apologize if the following has already been implemented, or if the idea is stupid, as I may have acted before I thoroughly went through the documents and background knowledge. 

 

Anyhow, I would like to propose the addition of Pattern Recognition algorithms to the library.  I am not sure how well or how useful they will be to quants, but classification, clustering , kernel algorithms and AI, may be of some use in financial risk assessment.  Time-series can also be analyzed with these algorithms by using t-n to t data points to predict t+1.  I know it deviated from the books and courses (stochastic processes, curve fitting), but I would just like to know whether the idea is plausible.

 

Please comment with ideas and critiques.

 

Thank you,

 

Pawit Khid-arn

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