723 search results for "Finance"

The number 1 novice quant mistake

January 12, 2011
By
The number 1 novice quant mistake

It is ever so easy to make blunders when doing quantitative finance.  Very popular with novices is to analyze prices rather than returns. Regression on the prices When you want returns, you should understand log returns versus simple returns. Here we will be randomly generating our “returns” (with R) and we will act as if … Continue reading...

Read more »

Some market predictions

January 6, 2011
By
Some market predictions

We look at a few forecasts for the year 2011 that we’ve run across, and compare them with the prediction distributions presented in Revised market prediction distributions. FTSE 100 There is a “range forecast” on an Interactive Investor page of 5350 to 6565.  It isn’t clear (to me at least) what this means, but I … Continue reading...

Read more »

Principal component analysis to yield curve change

December 19, 2010
By
Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

Read more »

Principal component analysis to yield curve change

December 19, 2010
By
Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

Read more »

White Bumblebee Implemented in R

December 18, 2010
By
White Bumblebee Implemented in R

White Bumblebee is a trade system based on a simple moving average crossover, but with a special twist. Imagine your thermostat triggering your furnace to shut off or turn on every time a temperature crossed a threshold. If the thermostat didn't have a...

Read more »

Issues of R Client Library For The Google Prediction API

December 16, 2010
By

The Google Prediction API is a black-box system for building predictive models, it provides pattern-matching and machine learning capabilities. So Google algorithms automatically creates a model from the training models given a set of training data and makes prediction under this model given a set of explanatory variables, read http://code.google.com/apis/predict/docs/getting-started.html for an overview. I am eager...

Read more »

Why Use R?

December 14, 2010
By

I use R very frequently and take for granted much that it has to offer.  I forget how R is different from similar tools, so I have trouble communicating the benefits of using R.  The goal of this post is to highlight R's main strengths, but first... my story.How I got started with RI was introduced...

Read more »

Why Use R?

December 14, 2010
By

I use R very frequently and take for granted much that it has to offer.  I forget how R is different from similar tools, so I have trouble communicating the benefits of using R.  The goal of this post is to highlight R's main strengths, but first... my story.How I got started with RI was introduced...

Read more »

White Bull, An Algorithm in R

December 11, 2010
By
White Bull, An Algorithm in R

Algorithms are curious creatures. They behave in a very predictable way. They do as they are told and do it the same way every time. What they lack in imagination, they make up in reliability. You cannot talk an algorithm into saying something it's not...

Read more »

3 weak days in a row

December 6, 2010
By
3 weak days in a row

Recently, Trading the odds posted one of many flavors of mean reverting strategies and I decided to get my hands dirty by writing R code and testing it. You can find full description of the strategy by following latter link above. Long story short – if SPY shows lower open, high and close 3 days in

Read more »