541 search results for "TRADING"

Installing quantstrat from R-forge and source

January 10, 2012
By
Installing quantstrat from R-forge and source

R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. Custom solutions are almost always the best way to do this, but the quantstrat package The post Installing...

Read more »

The top 7 portfolio optimization problems

January 5, 2012
By
The top 7 portfolio optimization problems

Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is indeed a problem. Spreadsheets are dangerous when given a complex task.  Portfolio optimization qualifies as complex in this context (complex in data requirements). If you are … Continue reading...

Read more »

Market predictions for years 2011 and 2012

January 2, 2012
By
Market predictions for years 2011 and 2012

A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post “Revised market prediction distributions” presented plots showing the variability of various markets assuming no market-moving forces. The follow-up post “Some market predictions enhanced some of those plots with … Continue reading...

Read more »

Free Online Stanford Machine Learning Course: Andrew Ng. Post Mortem.

January 1, 2012
By
Free Online Stanford Machine Learning Course: Andrew Ng. Post Mortem.

Happy New Year to all the viewers of this blog and just a short reminder that the course will be available again this January.http://www.ml-class.org/course/auth/welcomeHaving audited the course, I would highly recommend it to anyone who is interested ...

Read more »

Portfolio Optimization in R, Part 4

December 23, 2011
By
Portfolio Optimization in R, Part 4

This post will conclude the portfolio optimization series.  In this post, we will construct a trading strategy based on portfolio optimization and test the results against the CAPM market portfolio as well as another strategy.It is worth reiterati...

Read more »

Happy Holidays and Best Wishes for 2012

December 22, 2011
By
Happy Holidays and Best Wishes for 2012

This is just a quick note to wish you and your family a very healthy and happy holidays and wonderful New Year! I hope you enjoyed reading my blog and thank you for your comments and emails. Here is a short R code that implements an interesting idea from the Charting the Santa Claus Rally

Read more »

Submit a paper to the R/Finance conference

December 19, 2011
By

For anybody using the R language to analyze financial data, the R/Finance conference is the conference of the year. If you have something to share about applied finance with R, the call for papers is now open. The details are below, and the deadline for submissions is January 31, 2012. R/Finance 2012: Applied Finance with R May 11 and...

Read more »

Portfolio Optimization in R, Part 1

December 17, 2011
By
Portfolio Optimization in R, Part 1

I briefly mentioned in my last post; that I was fooling around with portfolio optimization in R.  This post will the first in a series on the topic of portfolio optimization. Please note, nothing I am about to say should be taken as advice for investing.  These results are based on prior observed returns and the future...

Read more »

R / Finance 2012 Call for Papers

December 15, 2011
By

Last night, the text below went out to r-sig-finance along with updates to the R/Finance website and its Call for Papers page; followed by some tweeting and Goggle+'ing (and please do feel free to retweet and share at will...) Call for Papers: ...

Read more »

Volatility estimation and time-adjusted returns

December 15, 2011
By
Volatility estimation and time-adjusted returns

Do non-trading days explain the mystery of volatility estimation? Previously The post “The volatility mystery continues” showed that volatility estimated with daily data tends to be larger (in recent years) than when estimated with lower frequency returns. Time adjusting One of the comments — from Joseph Wilson — was that there is a problem with … Continue reading...

Read more »