568 search results for "Trading"

“Trend is Not Your Friend” Applied to 48 Industries

August 8, 2012
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“Trend is Not Your Friend” Applied to 48 Industries

Please see previous post Crazy RUT in Academic Context Why Trend is Not Your Friend. I’ll repeat the intro to the post mentioned above, so we can all get caught back up. In response to Where are the Fat Tails?, reader vonjd very helpfully referred me...

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The New 60/40

August 6, 2012
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The New 60/40

I want to share a brilliant idea and a great example from the You’re Looking at the Wrong Number post at the GestaltU blog. Today, I will focus on the section of this post that outlines simple steps to improve a typical 60/40 stock/bond portfolio by using risk allocation instead of dollar allocation, and targeting

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Another R mention in the NYT

July 25, 2012
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The R language gets a brief mention in an article in yesterday's New York Times on automated bond trading: The traders here are mostly educated in math or physics, often outside the United States, and their desks are piled high with textbooks like the “R Graphs Cookbook,” for working with obscure computer programming languages. R an obscure programming language?...

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Volatility and Correlation

July 19, 2012
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Volatility and Correlation

The implied option volatility reflects the price premium an option commands. A trader’s profit and loss ‘P&L’ from hedging option positions is driven to a large extend by the actual historical volatility of the underlying assets. Thus as option premiums … Continue reading →

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Using integer programming in R to optimize cargo loads

July 16, 2012
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Using integer programming in R to optimize cargo loads

Linear Programming is a mathematical technique used to find the values of some variables (within the bounds of some defined constraints) to find the maximum value of a quantity. For example, consider this problem from the FishyOperations blog: A trading company is looking for a way to maximize profit per transportation of their goods. The company has a train...

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Linear programming in R: an lpSolveAPI example

July 14, 2012
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Linear programming in R: an lpSolveAPI example

First of all, a shout out to R-bloggers for adding my feed to their website! Linear programming is a valuable instrument when it comes to decision making. This post shows how R in conjunction with the lpSolveAPI package, can be used to build a linear programming model and to analyse  Read more »

Linear programming in R: an lpSolveAPI example

July 14, 2012
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Linear programming in R: an lpSolveAPI example

First of all, a shout out to R-bloggers for adding my feed to their website! Linear programming is a valuable instrument when it comes to decision making. This post shows how R in conjunction with the lpSolveAPI package, can be used to build a linear programming model and to analyse its results. The lpSolveAPI package provides a complete implementation of the lp_solve...

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A practical introduction to garch modeling

July 6, 2012
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A practical introduction to garch modeling

We look at volatility clustering, and some aspects of modeling it with a univariate GARCH(1,1) model. Volatility clustering Volatility clustering — the phenomenon of there being periods of relative calm and periods of high volatility — is a seemingly universal attribute of market data.  There is no universally accepted explanation of it. GARCH (Generalized AutoRegressive … Continue reading...

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Alternative to Monte Carlo Testing

July 4, 2012
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Alternative to Monte Carlo Testing

When we backtest a strategy on a portfolio, it is a simple analysis of a single period in time. There are ways to “stress test” a strategy such as monte carlo, random portfolios, or shuffling the returns in a random order. I could never really wrap my head around monte carlo and shuffling the returns … Continue reading...

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Graphics Artifacts from Quarterly Commentary

July 2, 2012
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Graphics Artifacts from Quarterly Commentary

For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...

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