The results of 2010 INFORMS data mining competition just recently finished. The leaders were presented at the 2010 Annual INFORMS Conference. The 2010 INFORMS data mining competition goal was to determine short term movements in stock price...
393 search results for "Trading"
INFORMS Data Mining Competition leaders used Open Source software
The results of 2010 INFORMS data mining competition just recently finished. The leaders were presented at the 2010 Annual INFORMS Conference. The 2010 INFORMS data mining competition goal was to determine short term movements in stock price...
Were stock returns really better in 2007 than 2008?
We know that the S&P 500 was up a little in 2007 and down a lot in 2008. So on the surface the question seems really stupid. But randomness played a part. Let’s have a go at deciding how much of a part. Figure 1: Comparison of 2007 and 2008 for the S&P 500. Statistical … Continue reading...
Finally! A practical R book on Data Mining: "Data Mining With R, Learning with Case Studies," by Luis Torgo
I've been a bit busy lately with a few big things, however, I wanted to stop by and mention a fantastic book for those who have been following along the R examples. Anyone who's followed my blog knows that I'm big on practical books with examples...
Rapidminer + R Example for Trading
RapidMiner + R is an advanced tool that can be used to analyze trading strategies, In order to check its power I made a simple example using an algorithm based on a support vector machine for predicting the next day's price and based on it I generated ...
Rapidminer + R Example for Trading
RapidMiner + R is an advanced tool that can be used to analyze trading strategies, In order to check its power I made a simple example using an algorithm based on a support vector machine for predicting the next day's price and based on it I generated ...
Its 9am, do you know what the traders are thinking?
Roll proposed a model for the bid-ask spread that was based on first-order serial correlation. His empirical tests were based on daily and weekly frequency equity data, and based on the results he concluded there were informational inefficiencies (or that there was very short term non-stationarity in expected returns).
More recently this model has been applied to high...
Risk-Opportunity Analysis
I will be attending Ralph Vince's risk-opportunity analysis workshop in Tampa this weekend. Drop me a note if you're in the area and would like to meet for coffee / drinks.
R is Hot: Part 5
This the final installment of a five-part article series. You can download the complete article from the Revolution Analytics website. Building a Business The value of R to business is borne out by the experiences of John Lucker and his team of advanced analytics professionals at Deloitte Consulting LLP. John is a Deloitte Consulting Principal and leads the firm’s...
Algorithmic Trading with IBrokers
Kyle Matoba is a Finance PhD student at the UCLA Anderson School of Management. He gave a presentation on Algorithmic Trading with R and IBrokers at a recent meeting of the Los Angeles R User Group. The discussion of IBrokers begins near th...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
