608 search results for "trading"

The Kelly Criterion in Applied Portfolio Selection

The Kelly Criterion in Applied Portfolio Selection

The Kelly CriterionDerived by John L. Kelly (1956) the criterion recommends a certain fraction of a bankroll to be put on a bet with positive expectations. Kelly showed that $$\frac{p \cdot (b+1) - 1}{b}$$ optimizes the growth rate of wealth if the gam...

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Replicating CRSP Volatility Decile Portfolios in R

December 7, 2016
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Replicating CRSP Volatility Decile Portfolios in R

  Introduction In this post, I provide R code that enables the replication of the Center for Research in Security Prices (CRSP) Volatiliy Deciles using Yahoo! Finance data. This post is related to my last blog post in that it will generate the CRSP low volatility decile portfolio, thereby facilitating the replication of the associated … Continue...

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BERT: a newcomer in the R Excel connection

November 30, 2016
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BERT: a newcomer in the R Excel connection

A few months ago a reader point me out this new way of connecting R and Excel. I don’t know for how long this has been around, but I never came across it and I’ve never seen any blog post or article about it. So I decided to write a post as the tool is really

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Russell 2000 Quantitative Stock Analysis in R: Six Stocks with Amazing, Consistent Growth

November 29, 2016
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Russell 2000 Quantitative Stock Analysis in R: Six Stocks with Amazing, Consistent Growth

The Russell 2000 Small-Cap Index, ticker symbol: ^RUT, is the hottest index of 2016 with YTD gains of over 18%. The index components are interesting not only because of recent performance, but because the top performers either grow to become mid-cap stocks or are bought by large-cap companies at premium prices. This means selecting the best components...

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New Course Series: Applied Finance with R

November 8, 2016
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New Course Series: Applied Finance with R

Interested in a career as a quantitive analyst? Working on a computational finance team? Well then, we've got great news! At DataCamp you can now enroll yourself and your team in an entirely new series of courses focused on Applied Finance with R. Lea...

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Quantitative Stock Analysis Tutorial: Screening the Returns for Every S&P500 Stock in Less than 5 Minutes

October 22, 2016
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Quantitative Stock Analysis Tutorial: Screening the Returns for Every S&P500 Stock in Less than 5 Minutes

Quantitative trading strategies are easy to develop in R if you can manage the data workflow. In this post, I analyze every stock in the S&P500 to screen in terms of risk versus reward. I’ll show you how to use quantmod to collect daily stock pri...

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The schedule is out – rstudio:conf 2017

October 13, 2016
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The schedule is out – rstudio:conf 2017

rstudio::conf 2017, the conference on all things R and RStudio, is only 90 days away. Now is the time to claim your spot or grab one of the few remaining seats at Training Days – including the new Tidyverse workshop. REGISTER NOW Whether you’re already registered or still working on it, we’re delighted today to

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The Problem With Depmix For Online Regime Prediction

October 5, 2016
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The Problem With Depmix For Online Regime Prediction

This post will be about attempting to use the Depmix package for online state prediction. While the depmix package performs … Continue reading →

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A book list of Learning financial data analysis using R #Rstats #Finance

September 28, 2016
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A book list of Learning financial data analysis using R #Rstats #Finance

As R is more and more popular in the industry as well as in the academics for analyzing financial data. For people unfamiliar with R, this post suggests some books for learning financial data analysis using R. From our teaching and learning R experien...

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Better Model Selection for Evolving Models

September 25, 2016
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Better Model Selection for Evolving Models

For quite some time now I have been using R’s caret package to choose the model for forecasting time series data. The approach is satisfactory as long as the model is not an evolving model (i.e. is not re-trained), or if it evolves rarely. If the model is re-trained often – the approach has significant The post

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