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ARMA forecasting model within Excel? More Q & A on using Excel VBA for quant development? Stick with C++, R,, or Matlab for HFT #excel

(Last Updated On: November 7, 2012)

ARMA forecasting model within Excel?  More Q & A on using Excel VBA for quant development? Stick with C++, R,, or Matlab for HFT #excel

From a visitor query:
Responses below followed by –>
> Hey Bryan,
>
> How’s it going? I’m really interested in joining quantlabs; however,
> I wanted to ask you a couple of questions… In regards to my
> programming skills, they are pretty limited and extend to excel/vba
> right now, is this adequate for someone who is looking to learn stat
> arb/pairs trading (specifically intraday)? I know you focus a lot on
> C++,R and Matlab; however, i was wondering i could make some quant
> systems work with excel/vba if not which of those 3 progamming
> languages which you suggest is easiest for a retailer to learn?

–> Excel/VBA is very limiting and slow. R/Matlab with C++ or Java opens up your choices. Also, I don’t believe in black box technology as I like having source code for end to end control In terms of priority, I would focus on R as that can advance very quickly with the ability to call C++ inline from R if needed.
Do realize professional quants spent 90% of their time in coding in these technologies.
I saw
> in one of your youtube blogs that you touched on ARMA, I was wondering
> if being a member of quantlabs, you could help members build ARMA
> models in excel..?

–> MY priority is always for C++ and R. You may find some Excel files under http://www.quantcode.com/modules/mydownloads/viewcat.php?cid=9 but I cannot guarantee the quality of the code.

Do you currently trade intraday as a quantitative
> retailer?

I am right now focusing on technology and strategies. I do have a connection test into Interactive Brokers with my C++ HFT platform which I am building. http://www.youtube.com/watch?v=mwpXw08X2fE
So I am not actively trading right now until these are built and profitbly working.

I have always wondered what it would be like going down this
> route and I would love to hear from your end.
>
> I couln’t make it out to the last meeting you had at milestones;
> however, I would love to come out to the next one, I was wondering once I start paper trading
> when it is…?

–> My next Meetup in Toronto is Nov119.

Nov Meetup Social in North York-R and C++ HFT platform blabbing session?

Monday, Nov 19, 2012, 7:00 PM

Location details are available to members only.

13 Members Went

Here is our usual social Meetup for North York. Come on out and I may open up about my progress with my R analytic  being built into a very lightweight rapid C++ high frequency trading platform.

Check out this Meetup →

I hope these answer your questions.

>
> Kind Regards,
>

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