502 search results for "TRADING"

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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The Kalman Filter For Financial Time Series

May 25, 2010
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The Kalman Filter For Financial Time Series

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 ...

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LSPM Joint Probability Tables

May 18, 2010
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LSPM Joint Probability Tables

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...

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robot (SPX) DNA Management Techniques

May 18, 2010
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robot (SPX) DNA Management Techniques

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 tool on the markets, you'll soon find...

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Introducing IBrokers (and Jeff Ryan)

May 13, 2010
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Introducing IBrokers (and Jeff Ryan)

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.I'll start by highlighting that while all the software in this post is indeed free (true to FOSS), an account with...

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Introducing IBrokers (and Jeff Ryan)

May 13, 2010
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Introducing IBrokers (and Jeff Ryan)

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.I'll start by highlighting that while all the software in this post is indeed free (true to FOSS), an account with...

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Is it possible to get a causal smoothed filter ?

May 12, 2010
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Is it possible to get a causal smoothed filter ?

Although I haven't been all that much of a fan of moving average based methods, I've observed some discussions and made some attempts to determine if it's possible to get an actual smoothed filter with a causal model. Anyone who's worked on financial ...

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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

April 28, 2010
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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

I've been doing some research lately regarding types of spectral imaging and decomposition techniques that apply to non-stationary signals. As mentioned earlier, one of the major problems with the simple fourier analysis is that the basis functions ext...

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Thoughts on LSPM from R/Finance 2010

April 18, 2010
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Thoughts on LSPM from R/Finance 2010

I just got back from R/Finance 2010 in Chicago. If you couldn't make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes spec...

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