An old irony in New York is the ubiquity of the ‘gourmet deli’. It is hard to find a deli …Continue reading »

This entry is part 12 of 12 in the series Using RIn two previous posts we described how R can call C code with .C() and the more complex yet more robust option of calling C code with .Call(). Here … read more ...

Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading...

The article below is an updated version of an article I wrote for R-Bloggers in August 2010. As a first post I thought it was a good idea to introduce one of the best tool out there for quantitative trading: R R is a free software environment for statistical computing and graphics. It compiles and

Eventually this will be a blog about a reformed physicist's forays into data analysis in the world of finance. I'll be using R, Python, d3 and anything else I can get my hands on to serve up some tasty nuggets of data!

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

Many of the sites I linked to in the previous post have articles or papers on momentum investing that investigate the typical ranking factors; 3, 6, 9, and 12 month returns. Most (not all) of the articles seek to find which is the “best” look-back period to rank the assets. Say that the outcome of … Continue reading...

CALL FOR PAPERS DMApps 2013: the International Workshop on Data Mining Applications in Industry & Government In conjunction with PAKDD 2013, Gold Coast, Australia, April 14-17, 2013 http://dmapps2013.rdatamining.com The 2013 International Workshop on Data Mining Applications in Industry & Government … Continue reading →

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