# 608 search results for "trading"

## 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?...

## Volatility and Correlation

July 19, 2012
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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 →

## Using integer programming in R to optimize cargo loads

July 16, 2012
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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...

## Linear programming in R: an lpSolveAPI example

July 14, 2012
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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 »

## Linear programming in R: an lpSolveAPI example

July 14, 2012
By

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 its results. The lpSolveAPI package provides a complete implementation of the lp_solve...

## A practical introduction to garch modeling

July 6, 2012
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We look at volatility clustering, and some aspects of modeling it with a univariate GARCH(1,1) model. Volatility clustering Volatility clustering — the phenomenon of there being periods of relative calm and periods of high volatility — is a seemingly universal attribute of market data.  There is no universally accepted explanation of it. GARCH (Generalized AutoRegressive … Continue reading...

## Alternative to Monte Carlo Testing

July 4, 2012
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When we backtest a strategy on a portfolio, it is a simple analysis of a single period in time. There are ways to “stress test” a strategy such as monte carlo, random portfolios, or shuffling the returns in a random order. I could never really wrap my head around monte carlo and shuffling the returns … Continue reading...

## Graphics Artifacts from Quarterly Commentary

July 2, 2012
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For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...

## Crazy RUT in Academic Context Why Trend is Not Your Friend

June 26, 2012
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In response to Where are the Fat Tails?, reader vonjd very helpfully referred me to this paper The Trend is Not Your Friend! Why Empirical Timing Success is Determined by the Underlying’s Price Characteristics and Market Efficiency is Irrelevant by P...

## Strategy Diversification in R – follow up

June 25, 2012
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The strategies used in Strategy Diversification in R were labeled as Strategy1 and Strategy2. Strategy1 Indicator: 52 week Simple Moving Average Entry Rule: Buy 1000 shares when price crosses and closes above 52 week Simple Moving Average Exit Rule: Exit all positions when prices crosses and closes below 52 week Simple Moving Average Classification: Long … Continue reading...