Quantlib is a free library for modeling, trading, and risk management in real-life providing a comprehensive software framework for quantitative finance, it is written in C++, which might be inconvenient for some users. JQuantLib aiming at Java-fans i...
392 search results for "trading"
Tactical asset allocation using blotter
blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system. The contents of this post b...
R / Finance 2010 Call for Papers
Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next sp...
R / Finance 2010 Call for Papers
Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here.
So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next spring:
Call for Papers:
R/Finance 2010: Applied Finance with R
April 16 and 17, 2010
Chicago, IL, USA
The second...
opentick alternatives
I've been getting a bit of traffic from people searching for opentick (the defunct company), so I've started a list of similar (but non-free) data providers. I'm not affiliated with any of these vendors, and the list is in no particular order. I'll u...
Xasax closes shop
Six months after shutting down opentick completely Xasax (opentick's parent company) has followed suit.It looks like Xasax hit funding problems in August... Inside Market Data mentions the above in this story. Here is the full story (subscription requ...
Update
I can't believe it's been two months since I last posted... wow, time has a way of slipping through my fingers. Here's a short list of some upcoming posts: An introduction to LSPM -- a new R package that implements Ralph Vince's leverage space po...
Test cointegration with R
Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent ...
David Varadi’s RSI(2) alternative
Here's a quick R implementation of David Varadi's alternative to the RSI(2). Michael Stokes over at the MarketSci blog has three great posts exploring this indicator: Varadi’s RSI(2) Alternative: The DV(2) RSI(2) vs. DV(2) Last Couple...
RSI(2) Evaluation
Despite my best efforts, it's been a month since the last post of this series. The first post replicated this simple RSI(2) strategy from the MarketSci Blog using R. The second post showed how to replicate the strategy that scales in/out of RSI(2). ...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
