509 search results for "trading"

Visualizing Gestures as Paths

December 11, 2011
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Visualizing Gestures as Paths

Kaggle is hosting an exciting new competition in which the object is to learn to identify sequences of gestures from just one example of each gesture. I would bet this competition has a lot of potential to attract academics interested in machine learni...

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Improved Moving Average using intra-day EUR/USD FOREX

December 9, 2011
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Improved Moving Average using intra-day EUR/USD FOREX

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Improved Moving Average using intra-day EUR/USD FOREX(Fotis, Reason for Edit: Sample Dates Added) Hi everyone, Here we present the graphical illustrations from two cases that our improved moving average method provides better results compared to the rest. You can find the R-code...

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Simple and Profitable

December 8, 2011
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Simple and Profitable

The end of the month effect was examined by MarketSci in the The Last Day of the Month Blahs post. The idea is simple: buy on the last day of the month and sell a few days later. This idea was put into a strategy by Quanting Dutchman in the Strategy 2 – Monthly End-of-the-Month

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Improved Moving Average Code is available for download!

December 7, 2011
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Improved Moving Average Code is available for download!

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Improved Moving Average Code is available for download!Hi everyone, in the last few days we have received great feedback from you. Due to increasing demand we have made a short version of the original code available for personal use. Please let us...

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Displaying german stock performance with R using ggplot2

December 6, 2011
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Displaying german stock performance with R using ggplot2

I cannot follow stock market developments daily, so I was looking for a quick overview of what had happened in the last week. What would be of interest for me is  “How did German stocks perform over the last 5 days, compared to the last 20 trading days and the last 250 trading days”. R

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The volatility mystery continues

December 5, 2011
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The volatility mystery continues

How do volatility estimates based on monthly versus daily returns differ? Previously The post “The mystery of volatility estimates from daily versus monthly returns” and its offspring “Another look at autocorrelation in the S&P 500″ discussed what appears to be an anomaly in the estimation of volatility from daily versus monthly data. In recent times … Continue reading...

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Improved Moving Average?

December 4, 2011
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Improved Moving Average?

When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract...

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Week in Review 021211 R Language

Week in Review 021211 R Language

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on

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NG Spreads returns, a reliable earner.

December 1, 2011
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NG Spreads returns, a reliable earner.

Introduction to Backtesting library in the Systematic Investor Toolbox

November 24, 2011
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Introduction to Backtesting library in the Systematic Investor Toolbox

I wrote a simple Backtesting library to evaluate and analyze Trading Strategies. I will use this library to present the performance of trading strategies that I will study in the next series of posts. It is very easy to write a simple Backtesting routine in R, for example: The code I implemented in the Systematic

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