614 search results for "TRADING"

A Greedy ARMA/GARCH Model Selection

October 26, 2012
By

An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented approach cycles through all models within a the specified ranges for the parameters and chooses the best model based on the

Read more »

Momentum in R: Part 2

October 20, 2012
By
Momentum in R: Part 2

Many of the sites I linked to in the previous post have articles or papers on momentum investing that investigate the typical ranking factors; 3, 6, 9, and 12 month returns. Most (not all) of the articles seek to find which is the “best” look-back period to rank the assets. Say that the outcome of … Continue reading...

Read more »

S&P 500 correlations up to date

October 8, 2012
By
S&P 500 correlations up to date

I haven’t heard much about correlation lately.  I was curious about what it’s been doing. Data The dataset is daily log returns on 464 large cap US stocks from the start of 2006 to 2012 October 5. The sector data were taken from Wikipedia. The correlation calculated here is the mean correlation of stocks among … Continue reading...

Read more »

ROracle support for TimesTen In-Memory Database

September 27, 2012
By

Today's guest post comes from Jason Feldhaus, a Consulting Member of Technical Staff in the TimesTen Database organization at Oracle.  He shares with us a sample session using ROracle with the TimesTen In-Memory database.  Beginning in ve...

Read more »

Two particular courses and other upcoming events

September 25, 2012
By
Two particular courses and other upcoming events

Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading...

Read more »

Network of trade

September 22, 2012
By
Network of trade

This week,  I got my hands on some agricultural trade data. Trade data are typically extremely dirty so treat with care when you get your hands on them. Lab standard equipments are required.So I decided to look how countries trade by plotting the ...

Read more »

garch estimation on impossibly long series

September 20, 2012
By
garch estimation on impossibly long series

The variability of garch estimates when the series has 100,000 returns. Experiment The post “Variability of garch estimates” showed estimates of 1000 series that were each 2000 observations long.  Here we do the same thing except that the series each have 100,000 observations. That would be four centuries of daily data.  It’s not presently feasible … Continue reading...

Read more »

Stock Market and US elections

September 19, 2012
By
Stock Market and US elections

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Stock Market and US elections We made a very simple R file that historically gathers the period before and after the US elections. The inexperienced user has the ability to set the tickers of asset she wants to study and the look-back and look-forward...

Read more »

Extending Gold time series

September 10, 2012
By
Extending Gold time series

While back-testing trading strategies I want all assets to have long history. Unfortunately, sometimes there is no tradeable stock or ETF with sufficient history. For example, I might use GLD as a proxy for Gold allocation, but GLD is only began trading in November of 2004. We can extend the GLD’s historical returns with its

Read more »

Merging Current Stock Quotes with Historical Prices

September 4, 2012
By
Merging Current Stock Quotes with Historical Prices

I got a question last week about going from the backtest to the trading. For example, if our system is based on today’s close, we can approximate the close value by the price at say 3:30pm, determine the signal and still have time enter the trade. It is not perfect, but one of possible solutions.

Read more »

Sponsors

Mango solutions



RStudio homepage



Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training



http://www.eoda.de







ODSC

ODSC

CRC R books series











Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)