528 search results for "Trading"

Interview: Patrick Burns Quantitative Finance in R

Interview: Patrick Burns Quantitative Finance in R

Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written m...

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Boxplots and Day of Week Effects

March 4, 2012
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Boxplots and Day of Week Effects

THIS BLOG DOES NOT CONSTITUTE INVESTMENT ADVICE. ACTING ON IT WILL MOST LIKELY BE DETRIMENTAL TO YOUR FINANCIAL HEALTH.After following some R-related quant finance blogs like Timely Portfolio, Systematic Investor or Quantitative tho...

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Spurious Regression illustrated

March 4, 2012
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Spurious Regression illustrated

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading →

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Capturing Tick Data via C#, Interactive Brokers, and MySQL

March 3, 2012
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Capturing Tick Data via C#, Interactive Brokers, and MySQL

Interactive Brokers is a discount brokerage that provides a good API for programatically accessing their platform.  The purpose of this post is to create an application that will capture tick level data and save that data into a database for futur...

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I see high frequency data

March 1, 2012
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I see high frequency data

In the previous post I shared an example how to get high frequency data from IB broker (well, it is retail version of HFD – it has only best bid/ask and the trades). Now, once you saved some data – what should you do next? Next logical step would be data sanity check and visualization.

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Expanding Visualization of published system edges (R)

February 28, 2012
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Expanding Visualization of published system edges (R)

I happened to be looking over a revised text of a systems author I happen to follow. I will be a bit vague about specifics, as the system itself is based on well know ideas, but I'll leave the reader to research related systems.  The basic message...

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R integrated throughout the enterprise analytics stack

February 27, 2012
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The past couple of years have seen a dramatic growth in the use of the R language in the enterprise. R has always been pervasive in academia for research and teaching in statistics and data science, and as new graduates trained in R have migrated to the workplace the demand for R in corporations has become more and more...

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Multiple Factor Model – Building Risk Model

February 20, 2012
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Multiple Factor Model – Building Risk Model

This is the fourth post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Building CSFB Factors, and I will show how to build a multiple factor risk model. For an example of the multiple factor risk models, please read following references:

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What does ‘passive investing’ really mean?

February 20, 2012
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What does ‘passive investing’ really mean?

We know the words but what do they mean? Some definitions Here are some definitions of “passive investment management”. Investopedia says: A style of management associated with mutual and exchange-traded funds (ETF) where a fund’s portfolio mirrors a market index. Wikipedia says: Passive management (also called passive investing) is a financial strategy in which an investor (or … Continue reading...

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Machine Learning Examples in R

February 12, 2012
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Machine Learning Examples in R

This is a post that has been a long time in the making. Following on from the excellent Stanford Machine Learning Course I have made examples of the main algorithms covered in R.We have Linear RegressionFollowed by Neural NetworksAnd Support ...

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