Tag Archives: finance

Announcement of new R and Matlab Meetup User group for those in Finance and Financial Services!

Announcement of new R and Matlab Meetup User group for those in Finance and Financial Services!

I have started a new R User Groups for those in the financial services field. This of course includes those from banking, hedge fund, bulge brackets, brokers, prop shops, indie traders, etc.  As I do like Matlab as well, I decided to combine both interests into one. The primary goal is to share ideas in using software tools like R or Matlab to enhance development in custom and proprietary trading strategies, models, and algorithms. I guess you could say I am kind of excited by starting this. I also hope people will join especially those who are researchers, analysts, practioners, etc in these fields. Also, I am finding so many new blogs posts and R packages that I would love to share. I also want to learn as much as possible with this group. So if you feel you want to learn or contribute something, please join this Meetup group.

Join here at this Meetup group.

Despite Meetup’s requirements for face to face meeting up, I plan to do various and highly frequent online events through something like GotoMeeting.com for members of this Meetup. I also have to do face to face physical meet ups, so those will take place at least once a month in my local home town of Toronto, Ontario, Canada.  I also run another Meetup group so both will be used for of these events. The other group is

http://www.meetup.com/quant-finance

I have operated this group for over a year and a half with a few hundred members, it seems it  is growing steadily but many are in the global financial centers like New York, London, etc. As a result, I will be mimicking everything with this new group for R users.

Got questions, let me know via commenting below.

How to do computation finance with R for newbies

How to do computation finance with R for newbies

This is a really good tutorial for R newbies.

http://www.rmi.nus.edu.sg/csf/webpages/Authors/firstdraft/Nolan_draft_1.pdf

Do note that three R functions are at the end of the document. This includes get.stock.data, get.stock.price, and get.portfolio.returns

Give it a whirl but nothing new here for advanced users

 

Crucial and many helpful R packages and research papers for finance and HFT with quant model, algo, and strategy example

Crucial and many helpful R packages and research papers for finance and HFT with quant  model, algo, and strategy example

Note none of these have NOT been verified or validated yet but don’t mind me, I feel like a kid in a candy factory with these!

With Interactive Brokers and R:

http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html

http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf

Implied volatility:

http://www.r-bloggers.com/the-only-thing-smiling-today-is-volatility/

For volatility forecasting using GARCH

http://www.r-bloggers.com/trading-using-garch-volatility-forecast/

Time series analysis and computational finance Cointegration test

www.stat.ucl.ac.be/ISdidactique/Rhelp/library/tseries/html/00Index.html
urca R package with Conintegration
http://cran.r-project.org/web/packages/urca/index.html

http://global-4-lvs-colossus.opera-mini.net/hs36-13/15877/1/-1/cran.r-project.org/urca.pdf

Limit Order Book R package

http://r-forge.r-project.org/R/?group_id=790  <– not in CRAN but does not seem to have a download link
Engle Granger coefficient test

http://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf
CRAN – Package crawl random walk theory

http://cran.r-project.org/web/packages/crawl/index.html

Time series analysis in r (includes autocorrelation p17)

http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf
Ljung box test in r (includes times series)

Ljung Box part of this: http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf

http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf

Auto regressive estimation model
http://cran.r-project.org/web/packages/cts/vignettes/kf.pdf

Auto regressive is part of http://quantlabs.net/r-blog/2012/05/excellent-tutorial-on-using-urca-r-package-for-var-cointegration-statistical-tests-non-stationary-processes-benchmarks-and-estimating-models/
R time series pair trading Engle and Granger cointegartion
http://cran.r-project.org/web/packages/PairTrading/PairTrading.pdf
Volatility models
http://cran.r-project.org/web/packages/realized/realized.pdf
Brownian Motion
http://cran.r-project.org/web/packages/sde/sde.pdf
Non parametric regression estimation
http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf
Time based arbitrage opportunities
http://www.r-bloggers.com/time-based-arbitrage-opportunities-in-tick-data/

Bid Ask spread with tick data rtaq R package
http://cran.r-project.org/web/packages/RTAQ/RTAQ.pdf
Tick data bid ask spread
http://cran.r-project.org/web/packages/FinTS/FinTS.pdf
High frequency data analysis in r with taq data base
http://faculty.washington.edu/ezivot/research/hfanalysis.pdf
Probability of observing k arrivals

http://cran.r-project.org/web/packages/HMM/HMM.pdf
Note Amihud reference of cran in the following research paper:

http://poseidon01.ssrn.com/delivery.php?ID=595118123002081089030087126071081068052035058029030050009002086102005018011112069076118021122027111056019097028001082100025005051092069006116118100098122075080031073081071095115105007093083028120122&EXT=pdf
Info and market impact

http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf
Most profitable hedge fund strategy in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/
Econometric Analysis of Financial Market Data

http://www.math.uncc.edu/~zcai/FE-notes.pdf

PCA in R

http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/
Statistical arbitrage in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/

Dynamic modeling of mean-reverting spreads for statistical arbitrage

http://imperial.academia.edu/GiovanniMontana/Papers/1104540/Dynamic_modeling_of_mean-reverting_spreads_for_statistical_arbitrage

CAPM n r (note PerformanceAnalytics R package may be just as effective)
http://cran.r-project.org/web/packages/BLCOP/vignettes/BLCOP.pdf
Package RTAQ liquidity arbitrage

http://cran.r-project.org/web/packages/RTAQ/index.html

Crucial and many helpful R packages and research papers for finance and high frequency trading with a quant  model, algo, and strategy example

Note none of these have NOT been verified or validated yet but don’t mind me, I feel like a kid in a candy factory with these!

With Interactive Brokers and R:

http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html

http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf

Implied volatility:

http://www.r-bloggers.com/the-only-thing-smiling-today-is-volatility/

Time series analysis and computational finance Cointegration test

www.stat.ucl.ac.be/ISdidactique/Rhelp/library/tseries/html/00Index.html
urca R package with Conintegration
http://cran.r-project.org/web/packages/urca/index.html

http://global-4-lvs-colossus.opera-mini.net/hs36-13/15877/1/-1/cran.r-project.org/urca.pdf

Limit Order Book R package

http://r-forge.r-project.org/R/?group_id=790
Engle Granger coefficient test

http://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf
CRAN – Package crawl random walk theory

http://cran.r-project.org/web/packages/crawl/index.html

Time series analysis in r (includes autocorrelation p17)

http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf
Ljung box test in r (includes times series)

http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf
Auto regressive estimation model
http://cran.r-project.org/web/packages/cts/vignettes/kf.pdf
R time series pair trading Engle and Granger cointegartion
http://cran.r-project.org/web/packages/PairTrading/PairTrading.pdf
Volatility models
http://cran.r-project.org/web/packages/realized/realized.pdf
Brownian Motion
http://cran.r-project.org/web/packages/sde/sde.pdf
Non parametric regression estimation
http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf
Time based arbitrage opportunities
http://www.r-bloggers.com/time-based-arbitrage-opportunities-in-tick-data/

Bid Ask spread with tick data rtaq R package
http://cran.r-project.org/web/packages/RTAQ/RTAQ.pdf
Tick data bid ask spread
http://cran.r-project.org/web/packages/FinTS/FinTS.pdf
High frequency data analysis in r with taq data base
http://faculty.washington.edu/ezivot/research/hfanalysis.pdf
Probability of observing k arrivals

http://cran.r-project.org/web/packages/HMM/HMM.pdf
Note Amihud reference of cran in the following research paper:

http://poseidon01.ssrn.com/delivery.php?ID=595118123002081089030087126071081068052035058029030050009002086102005018011112069076118021122027111056019097028001082100025005051092069006116118100098122075080031073081071095115105007093083028120122&EXT=pdf
Info and market impact

http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf
Most profitable hedge fund strategy in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/
Econometric Analysis of Financial Market Data

http://www.math.uncc.edu/~zcai/FE-notes.pdf

PCA in R

http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/
Statistical arbitrage in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/

Dynamic modeling of mean-reverting spreads for statistical arbitrage

http://imperial.academia.edu/GiovanniMontana/Papers/1104540/Dynamic_modeling_of_mean-reverting_spreads_for_statistical_arbitrage

CAPM n r (note PerformanceAnalytics R package may be just as effective)
http://cran.r-project.org/web/packages/BLCOP/vignettes/BLCOP.pdf
Package RTAQ liquidity arbitrage

http://cran.r-project.org/web/packages/RTAQ/index.html