Over the years I've had quite a few interested individuals ask me about Chaos and its applications towards trading. Well, as hidden markov models and speech processing were made popular by James Simons and his team at Renaissance Technologies, one cou...
After the recent foray into stock analysis using quantmod, I thought it worthwhile to mention that the library can be used to analyze a wide variety of investments, including precious metals. It is also worthwhile to mention that there are other ...
Want to do some quick, in depth technical analysis of Apple stock price using R? Theres a package for that!The Quantmod package allows you to develop, testing, and deploy of statistically based trading models. It provides the infrastructure for d...
I've shown several examples of how to use LSPM's probDrawdown function as a constraint when optimizing a leverage space portfolio. Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdo...
Fig 1. Clustering based approach to candlestick Pattern Recognition. I've been reading a book titled, 'the Quants,' that I'm sure will tantalize many traders with some of the ideas embedded within. Most notably (IMO), the notion that Renaissance's Jame...
As a followup to my last article at FBJ, I took a look at the distributions of weekly totals for Stolen Bases to gauge win expectancies in the SB category in H2H fantasy baseball formats. The study is again pretty simple, as I just subtract one hypoth...
Every now and then I come across a tool that is so bogged down in pages of esoteric mathematical calculations, it becomes difficult to get even a simple grasp of how or why they might be useful. Even worse, you exhaustively search the internet to find ...
I've received several requests for methods to create joint probability tables for use in LSPM's portfolio optimization functions. Rather than continue to email this example to individuals who ask, I post it here in hopes they find it via a Google...
Yes, this is related to trading, but no, it is not my thesis on why the Euro is going to parity. Instead, it is sort of a workshop for robot(SPX) developers on how to organize their digital DNA. As you begin to use programming as a money extraction
Josh had kindly invited me to post on FOSS Trading around the time when he first came up with the idea for the blog. Fast forward a year and I am finally taking him up on his offer.
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
