To chart the spread between 2-Year treasury yields and 10-Year treasury yields, please type the simple code listed below into your R console. That is all, carry on as you were.require(quantmod)getSymbols(c("DGS10", "DGS2"), src="FRED")Ten_Two <...
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Opinions Not Backed by Money Are Not That Believable–Updated and with R
As an update to http://timelyportfolio.blogspot.com/2010/12/opinions-not-backed-with-money-are-not.html, I have updated the revised data, added the past two months, and translated to R. If the world really is overly bullish on stocks as some suggest, I...
Duck typing with quantmod
This is a short example of using duck typing in a guard statement in the futile.paradigm. We are implementing a …
Japan Intentional or Accidental Pursuit of Deflation
Japan’s intentional or accidental pursuit of deflation has caused an imbalance far greater than Bernanke’s pursuit of inflation. Japanese policymakers have allowed Yen appreciation versus all other currencies. It appears that they recog...
Blackbox trading Strategy using Rapidminer and R
This my first post in 2011. this post has cost me a bit more than usual, but I hope it meets expectations. The aim of this tutorial is to generate an algorithm based on black box trading, with all the necessary elements for evaluation. That is a first post of several, in order to explore the problems, features of...
Blackbox trading Strategy using Rapidminer and R
This my first post in 2011. this post has cost me a bit more than usual, but I hope it meets expectations. The aim of this tutorial is to generate an algorithm based on black box trading, with all the necessary elements for evaluation. That is a first post of several, in order to explore the problems, features of...
Interesting volatility measurement, part 2
A few weeks ago I have mentioned about an interesting volatility prediction. It is based on two periods of historical volatility (standard deviation). The remaining question was – does it really works? I could not give the answer, because I didn’t have VIX futures data at that time. Later on, I was contacted by Brian
Plotting overbought / oversold regions in R
The good folks at Bespoke Investment Group frequently show charts of so-called overbought or oversold levels; see e.g. here for the most recent global markets snapshot. Classifying markets as overbought or oversold is a popular heuristic. It starts...
Seasonal pair trading
quanttrader.info is a good quantitative repository, where I found an idea about seasonal spreads play. The idea of seasonal pair trading differs from pairs trading in a way, that it doesn’t try to find deviation from the spread’s mean, but it looks at seasonal spread patterns. In some cases it is easier to find an
High readings of VIX index during 2 days
During last two sessions (December 23th and 27th), VIX index posted returns (close to close) above 6 %. My question is – what return can we expect next day after such event? As you can see from the graph above, expected return is positive. During 1995-2010 were 53 such events and mean return was 1.02 %
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
