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# Curve Fitting Question

Discussion in 'Automated Trading' started by walterjennings, Jan 22, 2007.

1. ### walterjennings

Hey.

I was wondering if anybody here has a suggestion for a good curve fitting algorithm. I would prefer something that is computationally fast, or that does not need to be completely recomputed every new point I wish to fit.

Thanks

3. ### Bowgett

Neural networks work pretty well for curve fitting.

4. ### ktmexc20

FANN is very efficient.

You didn't make clear if you were referring to a software library or just algorithms themselves.

You can find the algorithms used by fann in it's source code if desired.

5. ### walterjennings

Either an algorithm or library would do. Iv never heard of NNs being used for curve fitting. I was thinking of something along the lines of regression analysis, cubic spline fitting, or polynomial fitting.

6. ### Kohanz

Matlab has a whole toolbox for curve-fitting. Can't say I have much experience with that toolbox, however.

7. ### ktmexc20

Curve fitting is a classification of various types such as you've mentioned. NNs handle it very well (too much so for data classification, etc. if you're not careful ). A single intermediary node will produce a linear regression, multiple node models will regress non-linearly.

Here's a nice summary definition of curve fittng.

And one for NNs.

8. ### walterjennings

to clarify a bit. I am coding in c++ if anyone knows good public / open source libraries. Ill take a look at FANN, even though I dont know off hand how to apply it to curve fitting.

9. ### ktmexc20

Well it's actually one in the same. But if you you'd like something more direct, take a look at R, Octave, Scilab, etc. which are real good open source statistics software application suites. But they use an interpreter.

Also, here's a nice on-line reference for stat related stuff. Look at regression modeling.
StatSoft

10. ### ktmexc20

Also take a look at the QuantLib library written in C++.

#10     Jan 22, 2007
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