616 search results for "trading"

Risk as a “Survival Variable”

December 8, 2014
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Risk as a “Survival Variable”

I come across a lot of strategies on the blogosphere some are interesting some are a complete waste of time but most share a common feature: people developing those strategies do their homework in term of analyzing the return but much less attention is paid to the risk side its random nature. I’ve seen comment like “a

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A New Volatility Strategy, And A Heuristic For Analyzing Robustness

December 4, 2014
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A New Volatility Strategy, And A Heuristic For Analyzing Robustness

This post is motivated by a discussion that arose when I tested a strategy by Frank of Trading The Odds … Continue reading →

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FOMC Dates – Scraping Data From Web Pages

November 30, 2014
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Before we can do some quant analysis, we need to get some relevant data - and the web is a good place to start. Sometimes the data can be downloaded in a standard format like .csv files or available via an API e.g. http://www.quandl.com but often you’ll need to scrape data directly from web pages.In this post I’ll...

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Power Outage Impact Choropleths In 5 Steps in R (featuring rvest & RStudio “Projects”)

November 27, 2014
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Power Outage Impact Choropleths In 5 Steps in R (featuring rvest & RStudio “Projects”)

I and @awpiii were trading news about the power outages in Maine & New Hampshire last night and he tweeted the link to the @PSNH Outage Map. As if the Bing Maps tiles weren’t bad enough, the use of a categorical color scale instead of a sequential one caused sufficient angst that I whipped up

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An Update on Flexible Asset Allocation

November 25, 2014
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An Update on Flexible Asset Allocation

A few weeks back, after seeing my replication, one of the original authors of the Flexible Asset Allocation paper got … Continue reading →

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Synchronization for R with the flock Package

November 20, 2014
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Have you tried synchronizing R processes? I did and it wasn’t straightforward. In fact, I ended up creating a new package – flock. One of the improvements I did not too long ago to my R back-testing infrastructure was to start using a database to store the results. This way I can compute all interesting

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R / Finance 2015 Call for Papers

November 18, 2014
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Earlier today, Josh send the text below to the R-SIG-Finance list, and I updated the R/Finance website, including its Call for Papers page, accordingly. We are once again very excited about our conference, thrilled about the four confirmed keynotes, and hope that many R / Finance users will not only join us in Chicago in May...

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R/Finance 2015 Call for Papers

November 18, 2014
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Call for Papers:R/Finance 2015: Applied Finance with RMay 29 and 30, 2015University of Illinois at ChicagoThe seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 in Chicago, IL, USA at the University...

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Volatility Risk Premium: Sharpe 2+, Return to Drawdown 3+

November 14, 2014
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Volatility Risk Premium: Sharpe 2+, Return to Drawdown 3+

First, before starting this post, I’d like to give one last comment about my previous post: I called Vanguard to … Continue reading →

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SBS documentary “The Age of Big Data”

November 8, 2014
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SBS documentary “The Age of Big Data”

by Yanchang Zhao, RDataMining.com “Data is becoming a powerful and most valuable commodity in 21st century. It is leading to scientific insights and new ways of understanding human behaviour. Data can also make you rich. Very rich.” — SBS documentary … Continue reading →

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