616 search results for "TRADING"

When Big Data matters

March 21, 2012
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When Big Data matters

Big can be a qualitative as well as a quantitative difference. The gas in the ill-fated Hindenburg airship, the gas that formed our Sun, and the gas that formed the Milky Way galaxy were just lumps of hydrogen atoms (with varying impurities). The difference was in the number of atoms. But that difference in numbers made the three structures...

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Download and Parse DJ/UBS Commodities Indexes

March 16, 2012
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Download and Parse DJ/UBS Commodities Indexes

Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. Finally, it’s a good example of

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That’s Not How the “Law of Large Numbers” Works

March 12, 2012
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That’s Not How the “Law of Large Numbers” Works

Breaking my dissertation and administrata induced silence for a small rant combining two of my favorite things – Apple Computer Inc, and simulation. Recently, the New York Times featured the article ‘Apple Confronts the Law of Large Numbers‘. The fundamental assertion? That the earnings growth and stock price of Apple cannot continue its rapid rise.

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"Fear of floating exchange rate" or "fear of losing international reserves".

March 10, 2012
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"Fear of floating exchange rate" or "fear of losing international reserves".

We were recently required to do an assignment for the International Finance course where we had to investigate the policy that the emerging economies adopt towards holding international reserves. A recent research paper at the NBER by Joshua Aizen...

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Japanese Trade and the Yen

March 7, 2012
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Japanese Trade and the Yen

I have had the pleasure over the last couple of weeks to help plan the CFA Society of Alabama 2012 Dinner featuring Jim Rogers and Barron’s Senior Editor Jack Willoughby.  The event was fantastic, and I would like to publicly thank Jim Rogers an...

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Multiple Factor Model – Building 130/30 Index

March 5, 2012
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Multiple Factor Model – Building 130/30 Index

Nico brought to my attention the 130/30: The New Long-Only (2008) by A. Lo, P. Patel paper in his comment to the Multiple Factor Model – Building CSFB Factors post. This paper presents a very detailed step by step guide to building 130/30 Index using average CSFB Factors as the alpha model and MSCI Barra

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Futures price prediction using the order book data

March 5, 2012
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Futures price prediction using the order book data

It has been a couple of months since my last post; busy with lots of projects.I had some fun playing around with data from Interactive Brokers API.  It turns out that it is relatively easily to get hold of the raw market data relating to both trades and order book changes for CME/NYMEX commodity futures.  For the purposes of...

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Interview: Patrick Burns Quantitative Finance in R

Interview: Patrick Burns Quantitative Finance in R

Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written m...

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Boxplots and Day of Week Effects

March 4, 2012
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Boxplots and Day of Week Effects

THIS BLOG DOES NOT CONSTITUTE INVESTMENT ADVICE. ACTING ON IT WILL MOST LIKELY BE DETRIMENTAL TO YOUR FINANCIAL HEALTH.After following some R-related quant finance blogs like Timely Portfolio, Systematic Investor or Quantitative tho...

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Spurious Regression illustrated

March 4, 2012
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Spurious Regression illustrated

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading →

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