Tag Archives: and way much mR

R source code coming soon to do volatility forecasting, pair trading, cointegration, estimating, simulation, and way much more!

R source code coming soon to do volatility forecasting, pair trading, cointegration, estimating, simulation, and way much more!
As a continuation of my Algorithm, Modelling, and Strategy Development courses, I will be posting R source code to show how to do the following in the coming weeks:
1.    Trade using a GARCH volatility forecast
2.    Modelling for VAR, for simulation/estimation, Statistical Test, Cointegration with Engle & Granger Two-Step Procedure, benchmarks, Autoregressive moving average models
3.    Proper time series analysis with simple component analysis, linear filtering, decomposition, regression analysis, exponential smoothing and prediction, autocorrelation, and parameter estimation and prediction with ARIMA models.
4.    Pair trading with plotting spreads,  Dickey–Fuller  and Phillips-Perron tests, estimate parameters for back testing, creating trade signals, and back testing performance.
Remember that R is totally free as it based on open source.
As you can imagine, this will be highly valuable as QuantLabs.net will be entering a serious effort in implementing these. I have turned away several capital providers wanting me to implement these but they are not quite there yet.  If you are interested in these with many others coming, I would definitely get in the action NOW!
So don’t just there? Start learning how to accurately predict market moving events like volatility and pricing trends.
http://quantlabs.net/dlg/sell.php?prodData=m%2C3
Get even more benfits including our HFT and Algo Development courses, software tool kits, and way more!
http://quantlabs.net/quant-member-benefits/
Thanks Bryan

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