Articles by Pete

Using apply, sapply, lapply in R

December 18, 2012 | Pete

This is an introductory post about using apply, sapply and lapply, best suited for people relatively new to R or unfamiliar with these functions. There is a part 2 coming that will look at density plots with ggplot, but first I thought I would go on a tangent to give some ... [Read more...]

Multidimensional Scaling and Company Similarity

July 30, 2012 | Pete

Background and ideaOften we are looking at a particular sector, and want to get a quick overview of a group of companies relative to one another. I thought I might apply Multidimensional Scaling (MDS) to various financial ratios and see if it... [Read more...]

Another cut at market randomness

May 20, 2012 | Pete

I have some background in computer security and one day found myself tasked with assessing the quality of randomness for session id tokens generated by popular web frameworks (namely Java and .NET). As it turns out, NIST have developed a series of tests for just this purpose detailed here.As ... [Read more...]

Mebane Faber Tactical Asset Allocation in R

April 13, 2012 | Pete

In 2006 Mebane Faber published a great piece of research detailing an asset allocation system that was both very easy to understand and implement, as well as carrying very respectable risk adjusted returns.The details are available in his paper&nb... [Read more...]

Machine Learning Examples in R

February 12, 2012 | Pete

This is a post that has been a long time in the making. Following on from the excellent Stanford Machine Learning Course I have made examples of the main algorithms covered in R.We have Linear RegressionFollowed by Neural NetworksAnd Support ... [Read more...]

Trading Mean Reversion with Augen Spikes

October 14, 2011 | Pete

One of the more interesting things I have come across is the idea of looking at price changes in terms of recent standard deviation, a concept put forward by Jeff Augen. The gist is to express a close to close return as a function of the standard devia... [Read more...]

Jeff Augen Volatility Spike Code in R

October 2, 2011 | Pete

[Update: I have updated this so the number of days used for standard deviation can be passed as a parameter, you can find the code at Trading Mean Reversion with Augen Spikes ]Jeff Augen has written many excellent books on options trading, including&nb... [Read more...]

Adding a volatility filter with VIX

October 2, 2011 | Pete

We saw in the basic system how we could add a factor, namely the 200 day moving average, to improve the overall performance of our system. You could spend a lot of time playing with different moving averages, and different combinations of crossovers if... [Read more...]
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