Quant Finance Meetup member Alon Honig is stepping up to the plate. He has proposed topics including:
“Pairs Trading With R”
learn how to determine the profitability of a Pairs Trading arbitrage
strategy using the popular R program suite.
The presentation will include data and a complete R script so that you
may create and test your own strategies
I am currently running a side
statistical consulting business (in addition to my insurance
consulting job) that focuses on financial applications. I an very well
versed in R programming language and think that the members may
benefit from being introduced to this new platform.
the Presentation would follow the current format:
1) “quick” mathematical background on means (i.e. average) and medians
and how one calculates them
2) create an R function live that calculates the mean/median
3) explain the “pairs” trading strategy
3) apply both the statistical models to a pairs trading strategy
4) draw conclusions
This will be a very good topic nad I like what I see in R so I am definitely going.
We are trying to sort the location for the NYorth Library or downtown still but
the date is firm at this point.