524 search results for "trading"

Build RQuantLib on 32-bit Windows

December 7, 2010
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Before you start, note that there is now a Windows binary of RQuantLib is available on CRAN.Due to a change in how R-2.12.0 is built, CRAN maintainers could no longer provide a Windows binary of RQuantLib with the QuantLib library they had been using....

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Build RQuantLib on 32-bit Windows

December 7, 2010
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Before you start, note that there is now a Windows binary of RQuantLib is available on CRAN.Due to a change in how R-2.12.0 is built, CRAN maintainers could no longer provide a Windows binary of RQuantLib with the QuantLib library they had been using....

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3 weak days in a row

December 6, 2010
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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

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INFORMS Data Mining Competition leaders used Open Source software

November 29, 2010
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INFORMS Data Mining Competition leaders used Open Source software

The results of 2010 INFORMS data mining competition just recently finished.  The leaders were presented at the 2010 Annual INFORMS Conference.  The 2010 INFORMS data mining competition goal was to determine short term movements in stock price...

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INFORMS Data Mining Competition leaders used Open Source software

November 29, 2010
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INFORMS Data Mining Competition leaders used Open Source software

The results of 2010 INFORMS data mining competition just recently finished.  The leaders were presented at the 2010 Annual INFORMS Conference.  The 2010 INFORMS data mining competition goal was to determine short term movements in stock price...

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Were stock returns really better in 2007 than 2008?

November 22, 2010
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Were stock returns really better in 2007 than 2008?

We know that the S&P 500 was up a little in 2007 and down a lot in 2008.  So on the surface the question seems really stupid.  But randomness played a part.  Let’s have a go at deciding how much of a part. Figure 1: Comparison of 2007 and 2008 for the S&P 500. Statistical … Continue reading...

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Finally! A practical R book on Data Mining: "Data Mining With R, Learning with Case Studies," by Luis Torgo

November 19, 2010
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Finally! A practical R book on Data Mining:  "Data Mining With R, Learning with Case Studies," by Luis Torgo

I've been a bit busy lately with a few big things, however, I wanted to stop by and mention a fantastic book for those who have been following along the R examples.  Anyone who's followed my blog knows that I'm big on practical books with examples...

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Its 9am, do you know what the traders are thinking?

November 17, 2010
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Its 9am, do you know what the traders are thinking?

Roll proposed a model for the bid-ask spread that was based on first-order serial correlation.  His empirical tests were based on daily and weekly frequency equity data, and based on the results he concluded there were informational inefficiencies (or that there was very short term non-stationarity in expected returns).More recently this model has been applied to high...

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Risk-Opportunity Analysis

November 12, 2010
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Risk-Opportunity Analysis

I will be attending Ralph Vince's risk-opportunity analysis workshop in Tampa this weekend.  Drop me a note if you're in the area and would like to meet for coffee / drinks.

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R is Hot: Part 5

November 4, 2010
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This the final installment of a five-part article series. You can download the complete article from the Revolution Analytics website. Building a Business The value of R to business is borne out by the experiences of John Lucker and his team of advanced analytics professionals at Deloitte Consulting LLP. John is a Deloitte Consulting Principal and leads the firm’s...

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