499 search results for "trading"

R / Finance 2011 Call for Papers

September 24, 2010
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Brian announced it on r-help and r-sig-finance and I have since updated the R/Finance website and Call for Papers page. And as David Smith already outblogged me about it, without further ado our Call for Paper for next spring's R/Finance conference: ...

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R / Finance 2011 Call for Papers

September 24, 2010
By

Brian announced it on r-help and r-sig-finance and I have since updated the R/Finance website and Call for Papers page. And as David Smith already outblogged me about it, without further ado our Call for Paper for next spring's R/Finance conference: ...

Read more »

R/Finance 2011 Call for Papers

September 23, 2010
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Held annually in Chicago, R/Finance is the conference for R users in the financial services industry. This year's conference included presentations from practitioners and researchers at institutions like Invesco Asset Management, Black Mesa Capital, and some of the leading academic institutions from around the world. Next year's conference, to be held 29-30 April 2011, could include you. If you're...

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Connecting to SQL Server from R using RJDBC

September 22, 2010
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Connecting to SQL Server from R using RJDBC

A few months ago I switched my laptop from Windows to Ubuntu Linux. I had been connecting to my corporate SQL Server database using RODBC on Windows so I attempted to get ODBC connectivity up and running on Ubuntu. ODBC on Ubuntu turned into an exercise in futility. I spent many hours over many days

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Principal Component Analysis (PCA) vs Ordinary Least Squares (OLS): A Visual Explanation

September 16, 2010
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Principal Component Analysis (PCA) vs Ordinary Least Squares (OLS): A Visual Explanation

Over at stats.stackexchange.com recently, a really interesting question was raised about principal component analysis (PCA). The gist was “Thanks to my college class I can do the math, but what does it MEAN?” I felt like this a number of times in my life. Many of my classes were focused on the technical implementations they kinda

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Dumping functions from the global environment into an R script file

September 15, 2010
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Looking at a project you didn’t touch for years poses many challenges. The less documentation and organization you had in your files, the more time you’ll have to spend tracing back what you did back when the code was written. I just opened up such a project, that was before I ever knew to split my .r files to...

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10w2170, Banff

September 11, 2010
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10w2170, Banff

Yesterday night, we started the  Hierarchical Bayesian Methods in Ecology workshop by trading stories. Everyone involved in the programme discussed his/her favourite dataset and corresponding expectations from the course. I found the exchange most interesting, like the one we had two years ago in Gran Paradiso, because of the diversity of approaches to Statistics reflected

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Patrick Burns is blogging

August 28, 2010
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Patrick Burns is blogging

Patrick Burns is the author of several helpful R resources, including A Guide for the Unwilling S User, The R Inferno, and S Poetry. He also wrote one of my favorite critiques of Microsoft Excel: Spreadsheet Addiction. His writing is witty, entertain...

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What the hell is a variance matrix?

August 25, 2010
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What the hell is a variance matrix?

When I first came to finance, I kept hearing about “risk models”. I wondered, “What the hell is a risk model?” Of course, I didn’t say this out loud — that would have given the game away.  My wife has strict instructions that she is to be the only one to know that I’m an … Continue reading...

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Intraday volatility of OMX Baltic stocks

August 16, 2010
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Intraday volatility of OMX Baltic stocks

Usually, intraday volatility exhibits a “smile” – it is high at open and close and it is lower during the trading day. DJI index, 5 min. intervals, CET time: MOS stock, 5 s. intervals, CET time: Because many readers of this blog are trading Nasdaq OMX Baltic stocks, it is worth to share my findings about volatility in

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