Patrick Burns is the author of several helpful R resources, including A Guide for the Unwilling S User, The R Inferno, and S Poetry. He also wrote one of my favorite critiques of Microsoft Excel: Spreadsheet Addiction. His writing is witty, entertain...
When I first came to finance, I kept hearing about “risk models”. I wondered, “What the hell is a risk model?” Of course, I didn’t say this out loud — that would have given the game away. My wife has strict instructions that she is to be the only one to know that I’m an … Continue reading...
Usually, intraday volatility exhibits a “smile” – it is high at open and close and it is lower during the trading day. DJI index, 5 min. intervals, CET time: MOS stock, 5 s. intervals, CET time: Because many readers of this blog are trading Nasdaq OMX Baltic stocks, it is worth to share my findings about volatility in
Here is a brief and simple example of switching systems based upon regime type (sometimes called gating). I've brought up the idea of conditioning systems based upon regimes many times in past posts. Some texts call this filtering, although I prefer t...
I wanted to briefly add one more thought regarding the temporal nature of probabilities as was alluded to in my correspondence with Adam, as well as the prior closing comments on the Chaos post (structure coalescing and dispersing).I will borrow from t...
When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ (/f) being less than the margin of its respective instrument. For example, assume the required margin for an instrument is $500, f$ is $100, an...
The presentations from April's successful R/Finance 2010 conference in Chicago are now available online. (Revolution Analytics is a proud sponsor of the conference.) There's some amazing content here for anyone looking for the cutting-edge of financial engineering, with presentations from practitioners and researchers at institutions like Invesco Asset Management, Black Mesa Capital, and some of the leading academic institutions...
Over the years I've had quite a few interested individuals ask me about Chaos and its applications towards trading. Well, as hidden markov models and speech processing were made popular by James Simons and his team at Renaissance Technologies, one cou...
After the recent foray into stock analysis using quantmod, I thought it worthwhile to mention that the library can be used to analyze a wide variety of investments, including precious metals. It is also worthwhile to mention that there are other ...
Want to do some quick, in depth technical analysis of Apple stock price using R? Theres a package for that!The Quantmod package allows you to develop, testing, and deploy of statistically based trading models. It provides the infrastructure for d...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
