Articles by Dzidorius Martinaitis

Plotting git statistics

July 13, 2011 | Dzidorius Martinaitis

Here’s a funny story – friend of my, avid gamer at that time, was going downhill on a bicycle when wonderful idea flashed his mind: I need to save the current status… Just in case if I crash, I will start again from the top of the hill. If you ... [Read more...]

timezone issue in R

May 14, 2011 | Dzidorius Martinaitis

While investigating Intraday patterns in FX returns and order flow paper I have faced the problem with timezone. I had 3 data sources with different timezones (GMT, CET, CEST). Most confusing thing was, that I didn’t know, how to deal with summer time. But why did I have the data ... [Read more...]

Transaction cost analysis and pre-trade analysis

April 20, 2011 | Dzidorius Martinaitis

Transaction cost analysis (TCA) is the framework to achieve best execution in trading context. TCA can be split into three groups: pre-trade analysis, intraday analysis, and post-trade measurement. Pre-trade analysis allows us to get insight about the future volatility of the price, forecast intra-day and daily volumes, market impact. It ... [Read more...]

Book: ggplot2 by Hadley Wickham

April 4, 2011 | Dzidorius Martinaitis

All my recent plots are built using ggplot2 package. I don’t know if my dear readers have noticed the difference, but from my point of view, ggplot2 allows to create nice looking and aesthetics plots. I was using this package before, but the real boost came after reading this ... [Read more...]

Correlation network

March 22, 2011 | Dzidorius Martinaitis

I came up with an idea to draw correlation network to get a grasp about relationship between a list of stocks. An alternative way to show correlation matrix would be head map, which can have limitations with big matrices (__100). Unfortunately,  ggplot2 package doesn’t have a easy way to draw ... [Read more...]

Tick data retrieval

January 31, 2011 | Dzidorius Martinaitis

I just published Java based code to pull tick data from Interactive Brokers. There are thousands tools to get tick data from IB, but I had one feature in mind. You can get maximum 50 quotes per second from Interactive Brokers (its IB limitation for TWS API) . Imagine a situation, when ... [Read more...]

Interesting volatility measurement, part 2

January 21, 2011 | Dzidorius Martinaitis

A few weeks ago I have mentioned about an interesting volatility prediction. It is based on two periods of historical volatility (standard deviation). The remaining question was – does it really works? I could not give the answer, because I didn’t have VIX futures data at that time. Later on, ...
[Read more...]

Seasonal pair trading

January 10, 2011 | Dzidorius Martinaitis is a good quantitative repository, where I found an idea about seasonal spreads play. The idea of seasonal pair trading differs from pairs trading in a way, that it doesn’t try to find deviation from the spread’s mean, but it looks at seasonal spread patterns. In ...
[Read more...]

High readings of VIX index during 2 days

December 28, 2010 | Dzidorius Martinaitis

During last two sessions (December 23th and 27th), VIX index posted returns (close to close) above 6 %. My question is – what return can we expect next day after such event? As you can see from the graph above, expected return is positive. During 1995-2010 were 53 such events and mean return was 1.02 % [...]
[Read more...]
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