I present you with my restructured project on options trading and scenario analysis. You are more than welcome to try it out. Firstly, I will give a small presentation that will reveal what you can do with it and whether you need to continue reading. T...
(This article was first published on R-statistics blog » RR-statistics blog, and kindly contributed to R-bloggers) What are the top 100 (most downloaded) R packages in 2013? Thanks to the recent release of RStudio of their “0-cloud” CRAN log files (but without including downloads from the primary CRAN mirror or any of the 88 other CRAN mirrors), we can now answer this question...
In case you missed them, here are some articles from May of particular interest to R users: Billions of geotagged Tweets create a beautiful map of the world when plotted with the ggmap package. A review of Ryan Sheftel's talk at R/Finance, on how he uses R on the trading desk at Credit Suisse. Also, a quick take on...
by Joseph Rickert In a post last week, I offered some first impressions about R/Finance 2013. Apparently, I was way off in estimating that 30% of the attendees were academics. The R/Finance organizers were quick to point out that percentage of academics attending the conference has been a constant 10% over the years; and this year was no different....
It's been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.
The comments below are based on my personal experience. If I don't comment on a seminar or presentation, it doesn't mean I...
Very. If you have 10 possible independent regressors, and none of which matter, you have a good chance to find at least one is important. A good chance being 40%: prob(one or more looks important) = 1 – prob(non looks … Continue reading →
Here is an interview with Ron Hochreiter, Assistant Professor at WU Vienna University Economics and Business. In 25 words or less tell us what you do (using German words is cheating). I consider myself as a data scientist (teaching and research) with roots in Mathematical Programming, i.e. Optimization under Uncertainty (Stochastic Programming). You were an
The post Interview...
In the original ARMA/GARCH post I outlined the implementation of the garchSearch function. There have been a few requests for the code so … here it is. Quite easy to use too: After the last code line above, fit contains the best (according to the AIC statistic) model, which is the return value of garchFit.
We have been looking at a way to improve risk adjusted returns by using a volatility filter. Although we could use VIX or equivalent, it turns out that historical volatility will work just as well, if not a little better.
You can see part 1 here Digging into the VIX, and part 2 here What can we use...
In part 1, we took a look at VIX and the relationship it had between historical volatility and realized volatility.Continuing on, I thought I would take a look at next day returns and the VIX. There is a relationship between SPX and VIX in that when SP...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
