Blog Archives

Pair-Trading with S&P500 Companies – Part I.

March 30, 2011
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In my recent post I wrote the code to download historical data for companies included in S&P500 index. Today I would like to perform statistical procedures to identify whether certain pair of stocks is co-integrated or not. Since there are approximately 500 companies that means I will need to perform calculations of testing. First of

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Loading CSV with Date and Time into Zoo in R

March 25, 2011
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Sometimes you are facing time series which has both date and time property in one column in CSV file. In this case you need to pass additional parameter into read.zoo function:   View Code RSPLUS1 z <- read.zoo("/path/to/file/test.csv&...

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Downloading S&P 500 Data to R

March 23, 2011
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The cornerstone of your analysis and quantitative trading algorithms are data. There are lots of different ways how to do it in R (depending of what your investment instruments are). Today I am going to download data from finance.yahoo which are stock ...

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Code Highlighter for R in WordPress

March 21, 2011
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First of all, welcome to my blog! I will write posts about trading, quantitative and algorithmic trading, programming and everything else what is on my mind. Feel free to comment and give suggestions how to improve this blog. Thank you! Well, one of th...

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