616 search results for "Trading"

Unstable parallel simulation, or after finishing testing, test some more

November 2, 2012
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Lately I have been working on a trading system based on Support Vector Machine (SVM) regression (and yes, if you wonder, there are a few posts planned to share the results). In this post however I want to share an interesting problem I had to deal with. Few days ago, I started running simulations using

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Book Review: R for Business Analytics, A Ohri

October 26, 2012
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Book Review:    R for Business Analytics,    A Ohri

      I've added a recently released book to my list of recommendations (at the amazon carousel to the right), as I've reviewed a copy provided to me via Springer Publishers. The book is R for Business Analytics, authored by A Ohri.&nbsp...

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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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S&P 500 correlations up to date

October 8, 2012
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S&P 500 correlations up to date

I haven’t heard much about correlation lately.  I was curious about what it’s been doing. Data The dataset is daily log returns on 464 large cap US stocks from the start of 2006 to 2012 October 5. The sector data were taken from Wikipedia. The correlation calculated here is the mean correlation of stocks among … Continue reading...

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ROracle support for TimesTen In-Memory Database

September 27, 2012
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Today's guest post comes from Jason Feldhaus, a Consulting Member of Technical Staff in the TimesTen Database organization at Oracle.  He shares with us a sample session using ROracle with the TimesTen In-Memory database.  Beginning in ve...

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Two particular courses and other upcoming events

September 25, 2012
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Two particular courses and other upcoming events

Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading...

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Network of trade

September 22, 2012
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Network of trade

This week,  I got my hands on some agricultural trade data. Trade data are typically extremely dirty so treat with care when you get your hands on them. Lab standard equipments are required.So I decided to look how countries trade by plotting the ...

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garch estimation on impossibly long series

September 20, 2012
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garch estimation on impossibly long series

The variability of garch estimates when the series has 100,000 returns. Experiment The post “Variability of garch estimates” showed estimates of 1000 series that were each 2000 observations long.  Here we do the same thing except that the series each have 100,000 observations. That would be four centuries of daily data.  It’s not presently feasible … Continue reading...

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Stock Market and US elections

September 19, 2012
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Stock Market and US elections

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Stock Market and US elections We made a very simple R file that historically gathers the period before and after the US elections. The inexperienced user has the ability to set the tickers of asset she wants to study and the look-back and look-forward...

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