Source code for NEW Workflow Qaunt Algo from Research Paper to Simulink to C CPP or FPHA HDL for HFT

# Tag Archives: research paper

# Research paper in R: Here is why GotoBLAS2 may be the fastest C multi threading library over ATLAS, MKL, GPU, FPGA, and others

Research paper in R: Here is why GotoBLAS2 may be the fastest C multi threading library over ATLAS, MKL, GPU, FPGA, and others.

I was just referred to this which shows GotoBLAS2 could be the fastest C multi threading library out there.

http://www.tacc.utexas.edu/tacc-projects/gotoblas2

These claims come from a vignette where there is an R package around these:

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

I just extracted out of this from this research paper:

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

.

Between the multithreaded

BLAS implementations, Goto is seen to have a slight advantage over MKL

and Atlas. GPU computing is showing promise but requires relatively large matrices to

outperform multi-threaded BLAS.

—

A second key aspect is the di_erence between static and shared linking. In static linking,

object code is taken from the underlying library and copied into the resulting executable.

This has several key implications. First, the executable becomes larger due to the copy of

the binary code. Second, it makes it marginally faster as the library code is present and no

additional look-up and subsequent redirection has to be performed…. Shared library builds, on the other

hand, result in smaller binaries that may run marginally slower|but which can make use of

di_erent libraries without a rebuild.

—

Shared library builds, on the other

hand, result in smaller binaries that may run marginally slower|but which can make use of

di_erent libraries without a rebuild.

# 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