604 search results for "Trading"

IBS reversion edge with QuantShare

January 4, 2013
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IBS reversion edge with QuantShare

Happy New Years to readers; my resolution this year is to continue delivering thoughts and ideas to others in the hopes that we all might be able to benefit somewhat from sharing observations. I'll start by describing an edge using QuantShare as the b...

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100 most read R posts in 2012 (stats from R-bloggers) – big data, visualization, data manipulation, and other languages

January 2, 2013
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100 most read R posts in 2012 (stats from R-bloggers) – big data, visualization, data manipulation, and other languages

R-bloggers.com is now three years young. The site is an (unofficial) online journal of the R statistical programming environment, written by bloggers who agreed to contribute their R articles to the site. Last year, I posted on the top 24...

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ARMA+GARCH Experiences

December 27, 2012
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A reader’s comment on my ARMA Models for Trading post asked about different aspects of my experience with ARMA+GARCH for trading forecasting. The more I thought about it, the more it looked like a full post. So here we go. Starting with the high level – what packages did I try? I have tried a

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Visualizing Principal Components

December 22, 2012
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Visualizing Principal Components

Principal Component Analysis (PCA) is a procedure that converts observations into linearly uncorrelated variables called principal components (Wikipedia). The PCA is a useful descriptive tool to examine your data. Today I will show how to find and visualize Principal Components. Let’s look at the components of the Dow Jones Industrial Average index over 2012. First,

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Even more Microsoft Postdocs

December 18, 2012
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Even more Microsoft Postdocs

Microsoft Research NYC seeks outstanding applicants for 2-year postdoctoral researcher positions. We welcome applicants with a strong academic record in one of the following areas: * Computational social science: http://research.microsoft.com/cssnyc * Online experimental social science: http://research.microsoft.com/oess_nyc * Algorithmic economics and market design: http://research.microsoft.com/algorithmic-economics/ * Machine learning: http://research.microsoft.com/mlnyc/ The post Even more Microsoft Postdocs appeared first on Decision Science News.

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R / Finance 2013 Call for Papers

December 17, 2012
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The text below just went out to r-sig-finance along with updates to the R/Finance website and its Call for Papers page. Call for Papers: R/Finance 2013: Applied Finance with R May 17 and 18, 2013 University of Illinois, Chicago, IL, USA The ...

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XLLoop examples

December 10, 2012
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XLLoop examples

Today I want to follow up with the XLLoop framework post. Please read the XLLoop framework post first to setup the XLLoop before trying the examples below. My first example is based on the TFX Package – to retrieve real-time FX quotes. To try this example, please first install the TFX Package. Please note that

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Discovering the quality of portfolio decisions

November 26, 2012
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Discovering the quality of portfolio decisions

Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007.  It invests in S&P 500 stocks and starts the year with a value of $10 million.  Initially there are 50 names in the portfolio.  It also ends the year with 50 names but has up to 53 names during the … Continue reading...

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ESSA2013 Conference

November 24, 2012
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ESSA2013 Conference

It has been just announced that during ESSA2013 conference I am planning to organize a special track on "Statistical analysis of simulation models". I hope to get some presentations using GNU R to promote it in social simulation community.It is obvious that GNU R excels in analysis of simulation data. However, very often it can be neatly...

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Extending Commodity time series

November 21, 2012
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Extending Commodity time series

I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for

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