Reading list: Predicting stock prices with HMMs

I stumbled on the scikit-learn HMM toolkit and thought I'd share some reading materials on HMMs. I personally dislike models that require a lot of hyperparameters (or a least some set of hyperparemeters that are hard to guess a priori, like the number of states), but that said I like the HMM's ability to abstract the state of a random process.
I would love to play with these in other contexts too...
Most of these papers came from a Bing search:

Proof that most methods of making stock market predictions don’t work

[5/19: fixed the pdf link]
Summary of a Vanguard study:
http://monevator.com/methods-of-making-stock-market-predictions-dont-work/
Link to the study:
https://personal.vanguard.com/pdf/s338.pdf

Note that the methodology is applied only to predicting whole market returns: it isn't applied to choosing individual stocks.

MtGox DDOS

Bitcoin exchange MtGox is unavailable due to DDOS attack. https://m.facebook.com/MtGox/posts/459849287432817 Bitcoin value plunged by 20% on btc-e as a result. This is a crazy volatile horse trading market. My sense is that arbitrage opportunities are not only limited by liquidity but also by daily transaction limits.

How to really make money with Bitcoin

Bitcoin is the new speculation hotness. Never mind that it costs more in energy to create a bitcoin than the coin is actually worth.

How are we doing so far?

precision/recall curve for 03-14 to 03-28. The red curve would be random guessing.

Various tweaks to the model over the last few days, as well as some backdating and thinking about how to make picks. I'm still working on some formatting/html stuff to make this stuff more browsable but in general you can find the picks after the close each day at, for example, /stocks/topStockPicks-2013-04-03.html, and the latest at /stocks/latestStockPicks. Full backdated index at http://simra.net/stocks.

Stock picks for 3/29

First trial run of the model based on today's closing prices. Let's see how they look next Friday, shall we?
http://simra.net/stocks/latestStockPicks.html

Rank Ticker
1 CECO
2 GTAT
3 TTI
4 DM
5 CWTR
6 IQNT
7 LAWS
8 COCO
9 MOV
10 NVTL
11 SFY
12 LINC
13 DGII
14 WGO
15 SAH
16 EBIX
17 CBR
18 ENTR
19 STRI
20 AKS

The emoticons of pi

Happy Math.Pi day!
3.

Vatsal Shah survey of methods for price prediction

Interesting research paper. Once I've read it completely I'll share some thoughts.
http://www.vatsals.com/Essays/MachineLearningTechniquesforStockPredictio...

UPDATE 3/16: Ok, I read this over and there's not really anything there of interest. As an aside I ran some experiments last week but had to rebuild my system shortly after due to a HD failure. Once I get the data back from my backup I'll share.

John Langford on Stock Prediction with ML

Fellow MSFTie John Langford shares his thoughts on stock prediction. http://hunch.net/?p=210

A first foray into predicting stock prices

A whole bunch of other failed strategies.

Pasting below some old correspondence with a friend. This was my first cut at applying a machine learning approach to trading.

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