Earlier we spoke about PITCHfx resources, and now we will learn about R resources. Well, what is R? Straight from wikipedia:R is a programming language and software environment for statistical computing and graphics. The R lang...

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Earlier we spoke about PITCHfx resources, and now we will learn about R resources. Well, what is R? Straight from wikipedia:R is a programming language and software environment for statistical computing and graphics. The R lang...

Hello, folks its time to cover some important econometrics tests you can do in R.The Akaike information criterion is a measure of the relative goodness of fit of a statistical model. If you have 10 models and order them by AIC, the...

So where did we mess up? In the calculation of returns for the market cap weighted portfolio and the portfolio optimization portfolio, we simply took the starting weights (W0) and multiplied them by the relevant series of returns.resEqual = as.matrix(returns) %*% t(ret)andsubRes = as.matrix(subRes) %*% t(ret)To correct this, we have 2 options. Recalculate the weight at each time point assuming a starting weight. ...

In post 6 we introduced some econometrics code that will help those working with time-series to gain asymptoticly efficient results. In this post we look at the different commands and libraries necessary for testing our assumptions and such. Testing our Assumptions and Meeting the Gauss-Markov TheoremIn this section we will seek to test and verify the assumptions of the simple linear...

IT is now appropriate to lay out our two regression models in full for empirical estimation over our two separate time periods. The first estimation is from 4/1/71 to 7/1/97 and the second is from 4/1/01 to 4/1/11. The methodology employed in the estimation of these two models is a procedure using Generalized Least Squares with a Cochrane-Orcutt, style iterated...

(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers) A few words for those of you who are not familiar with the “pairs trading” concept. First you should understand that the movement of every stock is dominated not by the companies performance but by the general market movement. This is the origin of...

The system described in the earlier series for ARMA trading was in fact an “extreme” version of the more common, orthodox approach prevailing in the literature. Recently I tried using R to reproduce the results of a particular paper, and that lead to a lot of new developments … How is typically ARMA trading simulated?

I was playing around tonight and came across something that looked odd. Using the importSeries() created before, I grabbed dividend adjusted returns for SHY, IEF, and TLT (iShares Short, Medium, and Long Maturity Treasury ETFs respectively). &nbs...

Around two weeks ago I gave a talk via skype to the first year students from the Undergraduate Program on Genomic Sciences (LCG in Spanish) from the National Autonomous University of Mexico (UNAM in Spanish). The talk was under the context of the Introduction to Bioinformatics Seminar Series whose goal is to familiarize the new students with the bioinformatics...