Introduction. Data Modeling. The Hills of the Galilee Problem. Modeling Financial Markets. Evaluating a Model. Nonparametric Methods. Fundamental versus Technical Analysis -- Data Modeling of Time Series. The Time Series Problem. Classical Methods of Time Series Modeling. The Curse of Dimensionality. Candidate Predictors. The Equity Curve. Measuring the Efficiency of a Modeling Method -- Kernel Regression. The Basic Concept. Higher Order Algorithms. The Bandwidth Concept. Error Estimates. Applying Kernel Regression to Time Series Data. Searching for a Model. Timing Considerations.
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