492 search results for "trading"

Gas price seasonality

February 18, 2010
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Gas price seasonality

Last spring I read “Quantitative Trading” by Ernest P. Chan. In his book, he suggested to buy gas futures contract at the end of February and sell it later, in March. Today, I decided to test this strategy by using R-language. The most important thing for such investigation is data. For this purpose, I used this

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Real-World, Real-Time Analytics

February 17, 2010
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Stop wasting time reading my drivel. You need to head over the the DataWrangling.com blog and read Peter Skomoroch’s interview with Bradford Cross of FlightCaster. Peter wrote up this interview back in August 2009, so I’m a little late to this party. There’s some really great quotes in this interview. Here’s a few of my fav

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Artificial Immune Systems and Financial Applications?

February 11, 2010
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Artificial Immune Systems and Financial Applications?

One of the buzzwords that seems to be common these days is AIS or Artificial Immune Systems. It is a biologically inspired classification type system that essentially tries to replicate some of our own natural immune system algorithms. Our bodies hav...

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Using J48 Decision Tree Classifier to Dynamically Allocate Next Day Position in Stocks or Bonds

February 11, 2010
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Using J48 Decision Tree Classifier to Dynamically Allocate Next Day Position in Stocks or Bonds

The prior introduction using a simple model to determine next weeks change based on the S&P 500 index and VIX did not look very promising, although hopefully it served to familiarize yourself with how classification is used in augmenting trading decisi...

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Registration open for R/Finance 2010

February 8, 2010
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Registrations are now open for the R/Finance 2010 conference, to be help April 16-17 in Chicago. Last year's meeting was a great success, and this year's looks to be just as good, with some great keynotes lined up: Analysis of Integrated and Co-integrated Time Series with R (Bernhard Pfaff) Leverage Space Portfolio Model (Ralph Vince) Signal Extraction (Marc Wildi0...

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Classification for stock directional prediction

February 8, 2010
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Classification for stock directional prediction

The neural network tutorial focused on a type of method known as regression. The other common method utilized in machine learning is called classification. The two approaches are somewhat similar in that they identify the best possible curve to learn...

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Practical Implementation of Neural Network based time series (stock) prediction -PART 5

February 7, 2010
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Practical Implementation of Neural Network based time series (stock) prediction  -PART 5

Following is an example of what it looks like to predict an actual univariate price series. The period of the signal that was sampled was already in stationary form, so not much massaging was needed other than normalization (described earlier).What's ...

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Updated Tactical Asset Allocation Results

February 6, 2010
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Updated Tactical Asset Allocation Results

In November, I used the strategy in Mebane Faber's Tactical Asset Allocation paper to provide an introduction to blotter. Faber has updated the strategy's results through the end of 2009. For those interested, he expands on the paper in his book, The...

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R / Finance 2010 Open for Registration

February 5, 2010
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The annoucement below went out to R-SIG-Finance earlier today. For information is as usual the the R / Finance 2010 page: Now open for registrations: R / Finance 2010: Applied Finance with R April 16 and 17, 2010 Chicago, IL, USA The second annu...

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R / Finance 2010 Open for Registration

February 5, 2010
By

The annoucement below went out to R-SIG-Finance earlier today. For information is as usual the the R / Finance 2010 page: Now open for registrations: R / Finance 2010: Applied Finance with R April 16 and 17, 2010 Chicago, IL, USA The second annual ...

Read more »