608 search results for "trading"

Five Thirty-Hate?

November 8, 2012
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Five Thirty-Hate?

The last few days have been trying, mostly because folks keep asking me the same questions: have you voted? Who do you think will win the election? Do you think Nate Silver (http://fivethirtyeight.blogs.nytimes.com/)  is right? How confident are you ...

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Retrieving the VIX term structure in R

November 5, 2012
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  Much of my time lately has gone into analyzing and trading products in the volatility complex.  As a result, I regularly watch the VIX term structure for continuations or deviations from trend.  To make analysis simpler, I’ve written some… Read more ›

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Unstable parallel simulation, or after finishing testing, test some more

November 2, 2012
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Lately I have been working on a trading system based on Support Vector Machine (SVM) regression (and yes, if you wonder, there are a few posts planned to share the results). In this post however I want to share an interesting problem I had to deal with. Few days ago, I started running simulations using

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Book Review: R for Business Analytics, A Ohri

October 26, 2012
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Book Review:    R for Business Analytics,    A Ohri

      I've added a recently released book to my list of recommendations (at the amazon carousel to the right), as I've reviewed a copy provided to me via Springer Publishers. The book is R for Business Analytics, authored by A Ohri.&nbsp...

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A Greedy ARMA/GARCH Model Selection

October 26, 2012
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An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented approach cycles through all models within a the specified ranges for the parameters and chooses the best model based on the

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Momentum in R: Part 2

October 20, 2012
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Momentum in R: Part 2

Many of the sites I linked to in the previous post have articles or papers on momentum investing that investigate the typical ranking factors; 3, 6, 9, and 12 month returns. Most (not all) of the articles seek to find which is the “best” look-back period to rank the assets. Say that the outcome of … Continue reading...

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S&P 500 correlations up to date

October 8, 2012
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S&P 500 correlations up to date

I haven’t heard much about correlation lately.  I was curious about what it’s been doing. Data The dataset is daily log returns on 464 large cap US stocks from the start of 2006 to 2012 October 5. The sector data were taken from Wikipedia. The correlation calculated here is the mean correlation of stocks among … Continue reading...

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ROracle support for TimesTen In-Memory Database

September 27, 2012
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Today's guest post comes from Jason Feldhaus, a Consulting Member of Technical Staff in the TimesTen Database organization at Oracle.  He shares with us a sample session using ROracle with the TimesTen In-Memory database.  Beginning in ve...

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Two particular courses and other upcoming events

September 25, 2012
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Two particular courses and other upcoming events

Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading...

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Network of trade

September 22, 2012
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Network of trade

This week,  I got my hands on some agricultural trade data. Trade data are typically extremely dirty so treat with care when you get your hands on them. Lab standard equipments are required.So I decided to look how countries trade by plotting the ...

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