An old irony in New York is the ubiquity of the ‘gourmet deli’. It is hard to find a deli …
392 search results for "trading"
Parallelized Back Testing
As mentioned earlier, currently I am playing with trading strategies based on Support Vector Machines. At a high level, the approach is quite similar to what I have implemented for my ARMA+GARCH strategy. Briefly, the simulation goes as follows: we step through the series one period (day, week, etc) at a time. For each period,
Regime Detection Pitfalls
Today, I want to address some questions that I was getting regarding the Regime Detection post. In the Regime Detection post I showed an example based on the simulated data, and some of you tried to apply this example to actual stocks. There is one big problem that you have to be aware in designing 
Portfolio Trading
In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →
Back-testing Rules
Nowadays there are many trading strategies shared online with reproducible, decent, results. Have you asked yourself, if the strategies are so profitable, why the author bother even sharing them, when the path to riches is clear – just implement the strategy and use it? There are people, of course, who are fascinated and challenged by
Five Thirty-Hate?
The last few days have been trying, mostly because folks keep asking me the same questions: have you voted? Who do you think will win the election? Do you think Nate Silver (http://fivethirtyeight.blogs.nytimes.com/) is right? How confident are you ...
Retrieving the VIX term structure in R
Much of my time lately has gone into analyzing and trading products in the volatility complex. As a result, I regularly watch the VIX term structure for continuations or deviations from trend. To make analysis simpler, I’ve written some…
Unstable parallel simulation, or after finishing testing, test some more
Lately I have been working on a trading system based on Support Vector Machine (SVM) regression (and yes, if you wonder, there are a few posts planned to share the results). In this post however I want to share an interesting problem I had to deal with. Few days ago, I started running simulations using
Book Review: R for Business Analytics, A Ohri
I've added a recently released book to my list of recommendations (at the amazon carousel to the right), as I've reviewed a copy provided to me via Springer Publishers. The book is R for Business Analytics, authored by A Ohri. ...
A Greedy ARMA/GARCH Model Selection
An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented approach cycles through all models within a the specified ranges for the parameters and chooses the best model based on the
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
