555 search results for "trading"

Some Impressions from R Finance 2015

June 4, 2015
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Some Impressions from R Finance 2015

by Joseph Rickert The R/Finance 2015 Conference wrapped up last Saturday at UIC. It has been seven years already, but R/Finance still has the magic! - mostly very high quality presentations and the opportunity to interact and talk shop with some of the most accomplished R developers, financial modelers and even a few industry legends such as Emanuel Derman...

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R Recipe: Reordering Columns in a Flexible Way

May 16, 2015
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Suppose you have a data frame with a number of columns. You want to put the Trader and System columns first but you also want to do this in a flexible way. One approach would be to specify column numbers. This does the job but it's not very flexible. After all, the number of columns The post

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Registration Open for R/Finance 2015!

March 31, 2015
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You can find registration information and agenda details (as they become available) on the conference website.  Or you can go directly to the registration page.  Note that there's an early-bird registration deadl...

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R / Finance 2015 Open for Registration

March 31, 2015
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The annoucement below just went to the R-SIG-Finance list. More information is as usual at the R / Finance page. Registration for R/Finance 2015 is now open! The conference will take place on May 29 and 30, at UIC in Chicago. Building on the success of the previous conferences in 2009-2014, we expect more than 250 attendees from around...

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Simulation and relative performance

March 24, 2015
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Simulation and relative performance

There’s been some nice posts on randomness the last week or so, in particular here and here. I would like to look at how we can use simulations to get a better understanding of how some aspect of a trading system holds up relative to a bunch of random trades.In this example, I look at entries on...

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Adopting R for experienced developers

March 14, 2015
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Adopting R for experienced developers

More and more frequently I come across people who express an interest in R, and I thought I would share some advice to help people decide if R is something they should use, as well as some high level advice on getting started. Most of these people are developers with at least few years experience writing code...

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Introduction to my New IKReporting Package

March 9, 2015
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Introduction to my New IKReporting Package

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are … Continue reading →

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Update on The Pre-FOMC Announcement Drift

March 3, 2015
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Update on The Pre-FOMC Announcement Drift

In the February 2015 edition of The Journal of Finance, a well known academic paper, “The Pre-FOMC Announcement Drift”, was finally published, almost 4 years after the working paper was released in the public domain in 2011.Authored by researchers, Lucca and Moench, at the US Federal Reserve, it documents the tendency for the S&P500 Index to rise in the...

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The Quarterly Tactical Strategy (aka QTS)

February 13, 2015
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The Quarterly Tactical Strategy (aka QTS)

This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation … Continue reading →

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Comparing Flexible and Elastic Asset Allocation

January 29, 2015
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Comparing Flexible and Elastic Asset Allocation

So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset … Continue reading →

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