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Algorithmic Trading with Free Open Source Software
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FOSS Trading: September 2012
http://blog.fosstrading.com/2012_09_01_archive.html
Algorithmic Trading with Free Open Source Software. Wednesday, September 12, 2012. Computational Finance with R on Coursera. If you haven't signed up for the Introduction to Computational Finance and Financial Econometrics. Course taught by Eric Zivot. It's not too late. The second week just started and the first assignments aren't due until September 18th. Posted by Joshua Ulrich. Links to this post. World Beta - Engineering Targeted Returns and Risk. AuTraSy blog - Automated trading System.
FOSS Trading: plot.xts RFC
http://blog.fosstrading.com/2015/04/plotxts-rfc.html
Algorithmic Trading with Free Open Source Software. Monday, April 20, 2015. We have been working on a new charting engine for. For the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC. This new engine improves the functionality, modularity, and flexibility of. By building off the framework Jeff Ryan began with. The main objective was to provide functionality similar to. The new version of. Posted by J...
FOSS Trading: December 2014
http://blog.fosstrading.com/2014_12_01_archive.html
Algorithmic Trading with Free Open Source Software. Monday, December 15, 2014. Updated quantmod on CRAN. An updated version of quantmod. Has just been released on CRAN. This is my first submission as the new maintainer. The major change was removing the dependency on the now-archived Defaults. Package. End-users shouldn't notice a difference, since I basically copied the necessary functionality from Defaults and added it to quantmod. There are also several bug fixes. A few worth noting are:.
FOSS Trading: November 2014
http://blog.fosstrading.com/2014_11_01_archive.html
Algorithmic Trading with Free Open Source Software. Tuesday, November 18, 2014. R/Finance 2015 Call for Papers. R/Finance 2015: Applied Finance with R. May 29 and 30, 2015. University of Illinois at Chicago. The 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 of Illinois at Chicago. We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf f...
FOSS Trading: March 2015
http://blog.fosstrading.com/2015_03_01_archive.html
Algorithmic Trading with Free Open Source Software. Tuesday, March 31, 2015. Registration Open for R/Finance 2015! You can find registration information. As they become available) on the conference website. Or you can go directly to the registration page. Note that there's an early-bird registration deadline of May 15. The conference will take place on May 29 and 30, at UIC. We are very excited about the four keynote presentations given by Emanuel Derman. For the program committee:. Gib Bassett, Peter Ca...
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Factor Evaluation in Quantitative Portfolio Management « The R Trader
http://www.thertrader.com/2015/03/23/factor-evaluation-in-quantitative-portfolio-management
The R Trader Blog. Risk as a “Survival Variable”. R financial time series tips everyone should know about ». Factor Evaluation in Quantitative Portfolio Management. March 23, 2015. When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held if there is not good enough opportunity. The reason for that is the tracking error. Between t...
The Fallacy of 1/N and Static Weight Allocation
http://unstarched.net/2013/06/18/the-fallacy-of-1n-and-static-weight-allocation
The Fallacy of 1/N and Static Weight Allocation. June 18, 2013. Additionally, they do not even test the significance in the difference of the Sharpe ratios which makes it rather difficult to draw. In this blog article, I will try to provide one empirical application, using a popular Global Tactical Asset Allocation model based on an approach proposed by Faber(2007), to show the value of a quantitive approach to asset allocation over the naive 1/N strategy. I make use of the rmgarch. The figure shows the ...
quantstrattrader.wordpress.com
An Introduction to Portfolio Component Conditional Value At Risk | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/07/12/an-introoduction-to-portfolio-component-value-at-risk
Trading, QuantStrat, R, and more. An Introduction to Portfolio Component Conditional Value At Risk. July 12, 2016. Posted in Asset Allocation. For those interested in an in-depth analysis of the intuition of component conditional value at risk, I refer them to the paper written by Brian Peterson, Peter Carl, and Kris Boudt. First, a demonstration of how the mechanism works using the edhec data set. There is no strategy here, just a demonstration of syntax. For a future backtest, I would like to make some...
Book Review « The R Trader
http://www.thertrader.com/category/book-review
The R Trader Blog. Archive for the 'Book Review' Category. Introduction to R for Quantitative Finance – Book Review. January 10, 2014. I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. Chap 1: Time Series Analysis. Chap 2: Portfolio Optimisation. Chap 3: Asset Pricing Model. Chap 4: Fixed Income Securities. Chap 5: Estimating the Term Structure of Interest Rates.
A note on the co-moments in the IFACD model
http://unstarched.net/2013/12/11/a-note-on-the-co-moments-in-the-ifacd-model
A note on the co-moments in the IFACD model. December 11, 2013. The conditional co-moments of ( mathbf{r} t ) of order 3 and 4 are represented as tensor matrices. Mathbf{M} {t} 3 = mathbf{A} mathbf{M} {f,t} 3( mathbf{A} otimes mathbf{A})’, quad. Mathbf{M} {t} 4 = mathbf{A} mathbf{M} {f,t} 4( mathbf{A} otimes mathbf{A} otimes mathbf{A})’. Mathbf{M} {f,t} 3 and =&. Mathbf{M} {1,f,t} 3, mathbf{M} {2,f,t} 3, ldots, mathbf{M} {N,f,t} 3. Mathbf{M} {f,t} 4 and = &. Thus, under the assumption of mutual independe...
Twinkle,twinkle little STAR
http://unstarched.net/2014/05/27/twinkletwinkle-little-star
Twinkle,twinkle little STAR. May 27, 2014. At the recent R/Finance 2014 conference in Chicago I gave a talk. On Smooth Transition AR models and a new package for estimating them called twinkle. In this blog post I will provide a short outline of the models and an introduction to the package and its features. The Smooth Transition AR Model. The s-state model considered in the twinkle. Package takes the following form:. And we allow for a variance mixture so that ( { varepsilon t} sim iid left( {0,{ sigma ...
dbm
http://unstarched.net/r/dbm
The Dynamic Binary Model (dbm) package implements estimation and multi-period iterated forecasts of the autoregressive binary model described in Kauppi and Saikkonen (2008). It includes the logit and probit link functions and a version of the scobit based on the Generalized Logistic distribution. The package is no longer hosted on r-forge. Twinkle,twinkle little STAR. The realized GARCH model. A Review of Risk Parity. A note on the co-moments in the IFACD model. Introduction to the parma package.
Development Update
http://unstarched.net/2013/07/25/development-update
July 25, 2013. This is a quick update regarding the status of my R. Packages on google code. Since google decided. To disallow uploads from Jan-2014 for existing projects, and immediately for new ones (meaning that the tarballs and zips could not be hosted on their servers anymore), I have had no choice but to return the development of the packages to r-forge. All packages are now hosted in the teatime. A new package for dynamic binary models ( dbm. Is also out and a blog post will follow shortly.
quantstrattrader.wordpress.com
Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/04/18/are-r2s-useful-in-finance-hypothesis-driven-development-in-reverse
Trading, QuantStrat, R, and more. Are R 2s Useful In Finance? Hypothesis-Driven Development In Reverse. April 18, 2016. Posted in Asset Allocation. This post will shed light on the values of R 2s behind two rather simplistic strategies — the simple 10 month SMA, and its relative, the 10 month momentum (which is simply a difference of SMAs, as Alpha Architect. Showed in their book DIY Financial Advisor. Here’s the code to do that:. And here are the results:. SMA10 MOM10 BuyHold Annualized Return 0.097...
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Fossick Travel Blogs – Travel in your own backyard
Independant Reviews and Ratings. For accommodation in Australia, New Zealand and the South Pacific. Daylesford and Macedon Ranges. Do you like to be in the know when it comes to travel? We do We've scoured the net to bring you our pick of the best travel sites worth visiting. Check out our latest discoveries here. Our roundup of all the best websites, things to see, do and experience in a place, in one place. Save yourself time and get inspired. FOR THE INDUSTRY PROFESSIONAL. Sponsor a locals guide.
Fossil Blog
Art & Artists. Q&A with…. The Story Of…. Street Style Real Style. Eeny Meeny, Miny Mom. May 7, 2015. Need some last minute Mother’s Day gift ideas? You can thank our friends over at LeCatch. Marlien and Coliena) for sharing what’s on their list. And yes, we too love the cat toys that ma. April 27, 2015. Beyond convenience and that whole even-distribution-of weight thing, the re-imagined backpack. Is having a stylistic moment. Ideal for traveling, commuting or simply a day at the beach these backpacks .
Diatomaceous Earth miracle powder | DIATOMACEOUS EARTH – natural health supplement
Diatomaceous Earth miracle powder. Horses – Improving health. May 10, 2015. Horses improve greatly when consuming Diatomaceous Earth. The high silica content gives a beautiful shining coat, strengthens hooves and stamina. Race horse owners are finding that when adding Diatomaceous Earth to their feed each day that they are getting much better health and performance. Review on dusting birds. September 16, 2014. DIATOMACEOUS EARTH – natural health supplement. Horses – Improving health. DAILY 8 AM TO 6 PM.
Blog | FOSS Fleet Management Tips for Canadian Businesses
How to Prioritize a Risk Management Program. It’s time to think about driver safety. Well, in the business of fleet management, it’s always. Are Smartphones Really a Problem for Fleet Drivers? Winter months mean a few things for fleet managers, but one of the biggest is knuckling down on. Fleet Safety: Top 10 Do's and Dont's for Winter Driving. Like it or not, winter is on its way, and there’s no better time for another helpful fleet. When dad gets the call he never wants to get. Website by Red Rocket Cr...
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FOSS Trading
Algorithmic Trading with Free Open Source Software. Tuesday, January 9, 2018. R/Finance 2018: Call for Papers. R/Finance 2018: Applied Finance with R. June 1 and 2, 2018. University of Illinois at Chicago. The tenth annual R/Finance conference for applied finance using R. Will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf format) a...
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changing the rain
Vulnerability is our most accurate measurement of courage.". 11 / Jun / 2014. There’s a bit of magic in everything, and some loss to even things out.". 27 / Oct / 2013. You cannot stay on the summit forever; you have to come down again. So why bother in the first place? 18 / Apr / 2013. Until we have seen someone’s darkness, we don’t really know who they are. Until we have forgiven someone’s darkness we don’t really know what love is.". 17 / Apr / 2013. 11 / Apr / 2013. Elder Jeffery R Holland. It is a c...
Foster Family Service
Foster Family Service's Pages. Tuesday, May 15, 2012. We should all say and hear these! I like it when you try so hard. Let's talk about it. Thanks for being patient… I'm lucky to know you… You're a great kid. Thanks for helping. I'm sorry. You're special… I Love You. Friday, May 20, 2011. It's Getting Hot Out There! 8226; Five gallon buckets pose a drowning hazard for young children, especially those between 7 years and 15 months of age. 8226; Before prolonged physical activity, the child should be well...
Foster Grant UK | Inside Foster Grant
Date July 24, 2015. INNOVATIVE EYEWEAR IDEAS THAT MAKES LIFE EASIER. We’ve brought together all our technologically advanced products under one FOSTER GRANT INNOVATIONS section. There’s a great range of inventive and original reading glasses that not only are designed to help you focus and protect your eyes but also to give you a lot more. Choose from eReaders that reduce harmful blue light from digital […]. Fold Flat Reading Glasses. Foster Grant Reading Glasses. Date June 23, 2015. Date June 15, 2015.
fostergrowthdotbiz | Engineering, Architectural and Life Science Services best management practices
Engineering, Architectural and Life Science Services best management practices. Who Says Only Senior Managers Can Generate Sales? August 5, 2015. Who brings in the business in your firm? Usually it is the senior managers. Think about how strong business would be if everyone– CEO, CFO, Project Manager, and junior Engineer/Architect/Scientist– also contributed. What do each of you have in common? Particularly for the junior roles, I suggest you can have a larger impact than you might think. I asked them ab...
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