604 search results for "trading"

Momentum with R: Part 1

August 23, 2012
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Momentum with R: Part 1

Time really flies… it is hard to believe that it has been over a month since my last post. Work and life in general have consumed much of my time lately and left little time for research and blog posts. Anyway, on to the post! This post will be the first in a series of … Continue reading...

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The Kaggle Bug

August 22, 2012
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The Kaggle Bug

If you have any interest in data mining and machine learning, you might have already caught the Kaggle bug.I myself fairly recently got caught up in following the various contests and forums after reading a copy of "Practical Time Series Forecasting," ...

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plot.xts is wonderful

August 16, 2012
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plot.xts is wonderful

As mentioned in FOSS Trading post A New plot.xts yesterday “The Google Summer of Code (2012) project to extend xts has produced a very promising new plot.xts function. Michael Weylandt, the project's student, wrote R-SIG-Finance to request impressio...

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Adaptive Asset Allocation

August 13, 2012
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Adaptive Asset Allocation

Today I want to highlight a whitepaper about Adaptive Asset Allocation by Butler, Philbrick and Gordillo and the discussion by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm. In this post I will follow the steps of the Adaptive Asset Allocation paper, and in the next post I will show

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“Trend is Not Your Friend” Applied to 48 Industries

August 8, 2012
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“Trend is Not Your Friend” Applied to 48 Industries

Please see previous post Crazy RUT in Academic Context Why Trend is Not Your Friend. I’ll repeat the intro to the post mentioned above, so we can all get caught back up. In response to Where are the Fat Tails?, reader vonjd very helpfully referred me...

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The New 60/40

August 6, 2012
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The New 60/40

I want to share a brilliant idea and a great example from the You’re Looking at the Wrong Number post at the GestaltU blog. Today, I will focus on the section of this post that outlines simple steps to improve a typical 60/40 stock/bond portfolio by using risk allocation instead of dollar allocation, and targeting

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Another R mention in the NYT

July 25, 2012
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The R language gets a brief mention in an article in yesterday's New York Times on automated bond trading: The traders here are mostly educated in math or physics, often outside the United States, and their desks are piled high with textbooks like the “R Graphs Cookbook,” for working with obscure computer programming languages. R an obscure programming language?...

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Volatility and Correlation

July 19, 2012
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Volatility and Correlation

The implied option volatility reflects the price premium an option commands. A trader’s profit and loss ‘P&L’ from hedging option positions is driven to a large extend by the actual historical volatility of the underlying assets. Thus as option premiums … Continue reading →

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Using integer programming in R to optimize cargo loads

July 16, 2012
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Using integer programming in R to optimize cargo loads

Linear Programming is a mathematical technique used to find the values of some variables (within the bounds of some defined constraints) to find the maximum value of a quantity. For example, consider this problem from the FishyOperations blog: A trading company is looking for a way to maximize profit per transportation of their goods. The company has a train...

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Linear programming in R: an lpSolveAPI example

July 14, 2012
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Linear programming in R: an lpSolveAPI example

First of all, a shout out to R-bloggers for adding my feed to their website! Linear programming is a valuable instrument when it comes to decision making. This post shows how R in conjunction with the lpSolveAPI package, can be used to build a linear programming model and to analyse  Read more »

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