Tag Archives: profitable

Considering industry view for fundamental predisposition for your profitable trading idea

Considering industry view for fundamental predisposition for your profitable trading idea

 

Take least amount of risk for most profit with the least amount of work. (sounds like an infomercial)

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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.

 

What kind of profitable financial forecasting models and algorithms do R professional users focus on?

What kind of profitable financial forecasting models and algorithms do R professional users  focus on?

I am on the hunt for various modeling types which I have comes across. I can list a bunch but I am sure there a pile I would be missing as well.

The ones I have under my radar right now include:

Garch

Arima

Arma

PCA

Markov chain or mcmc

CAPM

Autoregressive (AR)

Bayesian

Event arbitrage

Market inefficiency

Mape

Mean reversion

Moving average

​Answer this survey here.

It seems I am having no problems finding R source example tutorials with the exception of PCA and Markov. Maybe these are not used as much within the world of quant financial modeling? Or at least within R vs Matlab. Who knows but surveys like this help me understand what R users are actually focusing on.

if you have an opinion I what could be missing, please comment because I would be highly interested in what others have to say on what could be missing. As you can tell from the above list, these types of models are most likely popular or just more academic. I do realize what is used with industries like banking, hedge funds, these models could be significantly altered or tweaked to make them highly proprietary and obviously profitable. We would usually never know that secret.

Also from the R tutorials I am seeing also blend other languages which help speed up the execution of single threaded R. Certain examples that come to mind is C++ with the help of fantastic R packages like Rcpp or Rinside. With some heavy computing (also known as expensive) makes uses of parallelization or NOsql database solutions to help speed up simulations and calculations. I never even investigated other uses likes GPU, FPGA, or Cuda. Does it ever stop?

​As said, my primary goal is to find what kind of models R users and developers are using for their own research. It seems these same polls not only help me, but help others as well as they have access to the poll results.

​​The one thing I find very overwhelming is what actually is profitable and which could be duds in terms of models. Obviously these are very important things to consider when spending vast amounts of time in certain model development using a tool like R,

These answers help me figure out what to present for my new R Matlab User group.