901 search results for "finance"

Portfolio Trading

November 12, 2012
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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 →

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R Tips for Quantitative Trading

November 10, 2012
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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

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Hello World!

November 4, 2012
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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!

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Generate stock option prices – How to simulate a Brownian motion

October 29, 2012
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Generate stock option prices  – How to simulate a Brownian motion

The Brownian motion is certainly the most famous stochastic process (a random variable evolving in the time). It has been the first way to model a stock option price (Louis Bachelier's thesis in 1900).The reason why is easy to understand, a Brownian mo...

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A Greedy ARMA/GARCH Model Selection

October 26, 2012
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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

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Momentum in R: Part 2

October 20, 2012
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Momentum in R: Part 2

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...

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CFP: DMApps 2013 – Workshop on Data Mining Applications in Industry and Government, submission due by Jan 6, 2013

October 19, 2012
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CFP: DMApps 2013 – Workshop on Data Mining Applications in Industry and Government, submission due by Jan 6, 2013

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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Japanese Government Bond (JGB) Data Since 1974

October 16, 2012
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Japanese Government Bond (JGB) Data Since 1974

The Ministry of Finance Japan very generously provides data on JGBs back to 1974.  Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):

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Life on the Big International Frontier

October 16, 2012
By
Life on the Big International Frontier

Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) "Size, Value, and Momentum in International...

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Download Stock Price Online with R

October 11, 2012
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Download Stock Price Online with R

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