500 search results for "trading"

Intraday volatility of OMX Baltic stocks

August 16, 2010
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Intraday volatility of OMX Baltic stocks

Usually, intraday volatility exhibits a “smile” – it is high at open and close and it is lower during the trading day. DJI index, 5 min. intervals, CET time: MOS stock, 5 s. intervals, CET time: Because many readers of this blog are trading Nasdaq OMX Baltic stocks, it is worth to share my findings about volatility in

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Conditioning Systems on Regime Variables

August 10, 2010
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Conditioning Systems on Regime Variables

Here is a brief and simple example of switching systems based upon regime type (sometimes called gating). I've brought up the idea of conditioning systems based upon regimes many times in past posts. Some texts call this filtering, although I prefer t...

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Quantitative Candlestick Pattern Recognition (Part 2 — What’s this Natural Language Processing stuff?)

August 3, 2010
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Quantitative Candlestick Pattern Recognition (Part 2 — What’s this Natural Language Processing stuff?)

I wanted to briefly add one more thought regarding the temporal nature of probabilities as was alluded to in my correspondence with Adam, as well as the prior closing comments on the Chaos post (structure coalescing and dispersing).I will borrow from t...

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Margin Constraints with LSPM

August 1, 2010
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Margin Constraints with LSPM

When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ (/f) being less than the margin of its respective instrument.  For example, assume the required margin for an instrument is $500, f$ is $100, an...

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R/Finance 2010 presentations

July 7, 2010
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The presentations from April's successful R/Finance 2010 conference in Chicago are now available online. (Revolution Analytics is a proud sponsor of the conference.) There's some amazing content here for anyone looking for the cutting-edge of financial engineering, with presentations from practitioners and researchers at institutions like Invesco Asset Management, Black Mesa Capital, and some of the leading academic institutions...

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Chaos in the Financial Markets?

July 6, 2010
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Chaos in the Financial Markets?

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...

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Analyze Gold Demand and Investments using R

June 29, 2010
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Analyze Gold Demand and Investments using R

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 ...

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Stock Analysis using R

June 26, 2010
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Stock Analysis using R

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...

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Estimating Probability of Drawdown

June 19, 2010
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Estimating Probability of Drawdown

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...

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Quantitative Candlestick Pattern Recognition (HMM, Baum Welch, and all that)

June 10, 2010
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Quantitative Candlestick Pattern Recognition (HMM, Baum Welch, and all that)

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...

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