The text below just went out to r-sig-finance along with updates to the R/Finance website and its Call for Papers page. Call for Papers: R/Finance 2013: Applied Finance with R May 17 and 18, 2013 University of Illinois, Chicago, IL, USA The ...
392 search results for "trading"
Trading with SVMs: Performance
To get a feeling of SVM performance in trading, I run different setups on the S&P 500 historical data from … the 50s. The main motif behind using this decade was to decide what parameters to vary and what to keep steady prior to running the most important tests. Treat it as an “in-sample” test
XLLoop examples
Today I want to follow up with the XLLoop framework post. Please read the XLLoop framework post first to setup the XLLoop before trying the examples below. My first example is based on the TFX Package – to retrieve real-time FX quotes. To try this example, please first install the TFX Package. Please note that 
garch and the Algorithmic Trading Conference
The Imperial College Algorithmic Trading Conference was Saturday. Talks Massoud Mussavian Massoud gave a great talk on “Algo Evolution”. It started with a historical review of how trading used to be done “by hand”. It culminated in a phylogenetic tree of trading algorithms. There was an herbivore branch and a carnivore branch. Robert Macrae Robert … Continue reading...
Trading with Support Vector Machines (SVM)
Finally all the stars have aligned and I can confidently devote some time for back-testing of new trading systems, and Support Vector Machines (SVM) are the new “toy” which is going to keep me busy for a while. SVMs are a well-known tool from the area of supervised Machine Learning, and they are used both
Discovering the quality of portfolio decisions
Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of $10 million. Initially there are 50 names in the portfolio. It also ends the year with 50 names but has up to 53 names during the … Continue reading...
ESSA2013 Conference
It has been just announced that during ESSA2013 conference I am planning to organize a special track on "Statistical analysis of simulation models". I hope to get some presentations using GNU R to promote it in social simulation community.
It is obvious that GNU R excels in analysis of simulation data. However, very often it can be neatly...
Extending Commodity time series
I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for 
Upcoming events
New Events Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading...
Momentum in R: Part 3
In the previous post, I demonstrated simple backtests for trading a number of assets ranked based on their 3, 6, 9, or 12 (i.e lookback periods) month simple returns. While it was not an exhaustive backtest, the results showed that when trading the top 8 ranked assets, the ranking based 3, 6, 9, and 12 … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
