508 search results for "trading"

Bug Collector

April 26, 2011
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Bug Collector

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...

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Great FAJ Article on Statistical Measure of Financial Turbulence Part 3

April 26, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence Part 3

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 ...

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Great FAJ Article on Statistical Measure of Financial Turbulence Part 2

April 26, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence Part 2

I did not intend for this to be a multi-part series, but after some clear thinking at the beach over the weekend, I decided that it needed some more analysis.  For those of you that read the article or know Mahalanobis distance, the measure I pre...

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Milktrader: Quantitative finance in R

April 25, 2011
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The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and calculating daily returns with the dailyReturn function in the...

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Chop, Slice and Dice Your Returns in R

April 24, 2011
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Chop, Slice and Dice Your Returns in R

I have a knife rack on my kitchen wall with all my kitchen knives easily identifiable and accessible. I also have small scars on my hand where each knife can claim to have left a mark. It's not the knife's fault, of course. They hardly like being sudde...

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Great FAJ Article on Statistical Measure of Financial Turbulence

April 21, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence

I particularly liked this well-written paper, since unlike most academic research, I was able to understand it, replicate it, and incorporate it.  I know that the Financial Analyst Journal is not considered by the academic community as a top-ti...

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Transaction cost analysis and pre-trade analysis

April 20, 2011
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Transaction cost analysis and pre-trade analysis

Transaction cost analysis (TCA) is the framework to achieve best execution in trading context. TCA can be split into three groups: pre-trade analysis, intraday analysis, and post-trade measurement. Pre-trade analysis allows us to get insight about the future volatility of the price, forecast intra-day and daily volumes, market impact. It evaluates all strategies and advises

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Bond Market as a Casino Game Part 2

April 6, 2011
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Bond Market as a Casino Game Part 2

Before starting Part 2, please see Bonds as a Casino Game Part 1.   For the Monte Carlo random simulation purists, please ignore some unimportant technicalities in my simulation. To spoil the fun, here is the conclusion: Any way you look at ...

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Algorithm Whisperer

April 6, 2011
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Algorithm Whisperer

I was staring at my favorite trading algorithm the other day and I could swear it wanted to tell me something. I've made contact with it in the past, but our conversations pretty much ran along the lines of "What position are you in the market?" to whi...

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RQuantLib Windows binary on CRAN

April 4, 2011
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Dirk Eddelbuettel has recently released RQuantLib-0.3.7, which contains the necessary QuantLib builds to allow the CRAN servers to build the Windows binary.This (thankfully) makes my post on how to build RQuantLib on 32-bit Windows unnecessary for casu...

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