Tag Archives: professional

Are you a professional R user seeking to create and improve upon profitable financial forecasting models and algorithms?

 

Are you a professional R user seeking to create and improve upon profitable financial forecasting models and algorithms?

 

If that’s you, I’m running a survey right now which addresses your interests.

 

You see, I’m currently preparing video tutorial walkthroughs for various model types. Included on my “to do” list (or already done) are the following:

 

Garch

 

Arima

 

Arma

 

PCA

 

Markov chain or mcmc

 

CAPM

 

Autoregressive (AR)

 

Bayesian

 

Event arbitrage

 

Market inefficiency

 

Mape

 

Mean reversion

 

Moving average

 

Is there anything missing from that list within this survey?

 

As you’ve probably noticed, the current list features popular models which are rather “vanilla” or academic. They’re almost certainly being tweaked in highly proprietary ways by bank prop desks, hedge funds, and similar institutions in the real world.

 

But the essential bits and pieces are there (mostly). I’ve only encountered difficulty finding R source code example tutorials for PCA and Markov. Probably because few people have used them in quant financial modeling up until now! If you know differently, I’d appreciate hearing about it.

 

Other facts of note I’ve uncovered during my search include the reality that you can accelerate single threaded R execution by blending in other languages. C++ for example is often used in conjunction with great R packages like Rcpp or Rinside.

 

Parallelization and NOsql database solutions also accelerate simulations and calculations. There’s even other uses like GPU, FPGA, and Cuda. The flexibility seems endless.

 

But I digress. My primary goal with this survey is to discover what models R users and developers are using for their own research. This helps me, but also you too. You’ll have access to the survey results, after all.

 

I’ll even be incorporating the results of this survey in terms of what to present for my new R Matlab User group.