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Austin, TX
Experience: Advanced
Platform: NT/Matlab
Broker: Interactive Brokers
Trading: FX majors
Posts: 285 since Jun 2009
Thanks Given: 20
Thanks Received: 768
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I primarily use wavelets because Fast DWT (wavelet) algorithm is much more computationally efficient than SVD ( O(N) compared to O(M*N) ) and the improvement offered by SVD is marginal in most cases.
SVM and SVD are very powerful techniques though, to be sure. You can perform real-time training of SVM using CUDA, see cuSVM which has a cuda optimized c library and matlab wrapper.
It is pretty well documented that SVM outperforms Neural net (simple feedforward NN anyways) for many tasks but NN is generally more flexible and lends itself better to hybrid techniques such as neuro-fuzzy as well as ensemble techniques.
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