# 495 search results for "trading"

## Simulating Win/Loss streaks with R rle function

May 17, 2011
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The following script allows you to simulate sample runs of Win, Loss, Breakeven streaks based on a random distribution, using the run length encoding function, rle in R. Associated probabilities are entered as a vector argument in the sample function.Y...

## AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
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$AIB Stock Price, EGARCH-M, and rgarch$

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

## High Low Clustering on intraday high frequency sampled data

May 10, 2011
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Nothing unusually exciting on this post, but I happened to be engaged in some particle based methods recently and made some simple visual observations as I was setting up some of the sampling environment in R.  I am also using Rkward and Ubuntu to...

## First Answer to My Own Question-Combine LSPM and Mahalanobis

May 2, 2011
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I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend.  You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages.  I hate that I coul...

May 2, 2011
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## R/Finance conference in Chicago – April 29, 2011 to April 30, 2011

May 2, 2011
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This was my first year to attend the R/Finance conference that focuses on the use R programming in applied finance.  I was unable to get out there until mid-morning on Friday, so I missed Jeff Ryan’s tutorial on Automated Trading … Continue reading →

## Another Use of LSPM in Tactical Portfolio Allocation

April 29, 2011
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After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM s...

## Bug Collector

April 26, 2011
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Most are quite unamused to find an ant infestation in their kitchen around this time of year. Time to start spraying that stuff that's not supposed to be harmful to humans but that you always wonder if it is anyway. Some bugs, such as ant attacks or so...

## Great FAJ Article on Statistical Measure of Financial Turbulence Part 3

April 26, 2011
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Building on posts Great FAJ Article on Statistical Measure of Financial Turbulence and Great FAJ Article on Statistical Measure of Financial Turbulence Part 2, I will now build a system incorporating a new correlation-based measure of turbulence and a ...