Tag Archives: Cointegration

Excellent tutorial on using urca R package for VAR, Cointegration, Statistical Tests, Non Stationary , benchmark estimating models

Excellent tutorial on urca R package for VAR, Cointegration, Statistical Tests, Non Stationary Processes , benchmarks, estimating models
Wow! This tutorial at http://www.pfaffikus.de/download/tutorial-useR2008.pdf is quite excellent! As I look for cointegration tests like Dickey Fuller, this tutorial has it! Also, there are some demos on VAR with traditional processes. I must say I have validated some of the R code which seems to work ok! Plots work too!  Also, there are some very good definitions and algo equations given. Thus far, this is an excellent resource to see the power of R in forecasting! There seems to be no question of how data is generated as it is randomly generated.  No wonky data conversion here in these examples!

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Matlab webinar on Cointegration and Pairs Tradin with Econometric Toolbox download

Matlab webinar on Cointegration and Pairs Tradin with  Econometric Toolbox download

Thanks for a member for sending this.
>
> I recently came across a bunch of Matlab webinars and one of them was
> titled ‘Cointegration and Pairs Trading with Econometrics Toolbox’. I
> was wondering whether you have seen that one already. As this is a
> subject that you were rolling fairly recently in the Quantlab
> Services. (see attached screenshot).
>
> Anyway, if you’re interested you can download whole webinar from the link below.
>
> http://rapidgator.net/file/2c50614393fab85a1405374fd17cdc86 [1]

 

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URLs for Moving average, pair trading, cointegration, spread trading model with trading strategy for Twitter using Python

URLs for Moving average, pair trading, cointegration, spread trading model with  trading strategy for Twitter using  Python

of course my Premium Members get access but you can get access now.

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See these amazing R script source code link for a market forecasting model or startegy of moving average, pair trading, and cointegration

See these amazing R script source code link for a market forecasting model or startegy of moving average, pair trading, and cointegration

I have provided some of the best Link URLs for these R scripts. I also prepare the R source to ensure iut works with a complete R source code walkthrough. Some of these may even turn into a live webinar.

This is for my Premium Members but you can get instant access here.

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I am now Researching the best possible cointegration model or strategy with R source with video and webinar coming soon

I am now Researching  the best possible cointegration model or strategy with R source with video and webinar coming soon

These video source code video walkthroughs will be posted for Quantlabs.net Premium members so get access here.

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Improve your trading strategies with R code for prediction, pair trading, cointegration, back testing, etc

My Algorithm, Modelling, and Strategy Development courses just keep getting bigger and better. In the next few weeks, I’ll be posting R source code to teach you exactly how to:

1. Trade using a GARCH volatility forecast

2. Model for VAR, simulation/estimation, statistical tests, benchmarks, cointegration with the Engle & Granger Two-Step Procedure, and autoregressive moving average models

3. Conduct 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. Carry out pair trading with plotting spreads, Dickey–Fuller and Phillips-Perron tests, estimated parameters for back testing, valid trade signals, and properly back tested performances.

If you’re interested in any of the above (and there’s more coming), then …

Get in the action now! 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 benefits including our HFT and Algo Development courses, software tool kits, and more!

–> http://quantlabs.net/quant-member-benefits/ <–

Good trading,

Bryan

P.S. Remember: R is totally free as it’s open source. You don’t need expensive proprietary software packages to work with it. Volatility forecasting, pairs trading, cointegration, estimating, simulation, and much more. It’s all coming ASAP!

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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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New Videos posted on Volatility Modelling, Cointegration, Fat Tail Analysis, Bid Ask Spread for Algo Strategy Development New Videos posted on Volatility Modelling, Cointegration, Fat Tail Analysis, Bid Ask Spread for Algo Strategy Development

Hi there:

I’ve just added these latest detailed video lessons to the new Algo and Strategy Development course:

-Working with tick data to predict bid ask spread

-Volatility modeling

-Cointegration with Engle and Granger Test and error correction model

-Skewness, kurtosis (fat tail analysis), volatility with variance

-Orders Used in Microstructure Trading with Illiquid ratio

There will be 70+ lessons just like this when the course is complete.

For more information and access details, please go here:

Find out more about the course and other huge benefits including HFT platform building, QuantLibXL analysis and MATLAB

http://quantlabs.net/quant-member-benefits/slash-your-quant-learning-curve/

See you there!

Bryan

P.S. Curious about the new online Algo Strategy Development course in particular? Here’s a quick itinerary…

1.    Evaluating Performance and HFT Strategies

2.    Order Types For HFT

3.    Market Inefficiency And Profit Opportunities In Different Frequencies

4.    Searching For HFT Opportunities

5.    Working With Tick Data

6.    Trading On Market Micro Structure

7.    Event Arbitrage

8.    Statistical Arbitrage In HFT

9.    Managing Portfolios

10.   Back Testing Trading Models

11.   Risk Management

12.   Executing And Monitoring HFT Environment

13.   Post Trading Profitability Analysis

Over 72 algos are already preloaded ready to go!

P.P.S. The course is available only to Premium members. Find out about everything on offer right here …

Click here to join the QuantLabs.Net Premium membership

http://quantlabs.net/dlg/sell.php?prodData=m%2C3

 

 

New Videos posted on Volatility Modelling, Cointegration, Fat Tail Analysis, Bid Ask Spread for Algo Strategy Development

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Video lessons on random walk, market efficiency, cointegration for quant algo strategy development with Windows 8, SQL, .NET 4.5, VS 2012

Video lessons on random walk, market efficiency, cointegration for quant algo strategy development course with preview on Windows 8, SQL, .NET 4.5, VS 2012

Hi there
Here are the latest detailed video lessons I have added to the new Algo and Strategy Development course:
* Maximize number of Intraday Sharpe Ratio
* Random walk theory for market inefficiency
* Cointegration based test on Market efficiency
* Simple returns, log returns and average returns
Get more details here to get access to the course and other huge benefits including High Frequency Trading platform building, QuantLibXL analysis, Matlab, etc.
–>
http://quantlabs.net/quant-member-benefits/slash-your-quant-learning-curve/
<–
I also did a video preview on the upcoming suite of Microsoft Windows product including SQL Server 2012, Visual Studio 2012, .NET 4-4.5, Windows 8 and the Server edition.
–>
https://quantlabs.net/blog/2012/05/my-thoughts-on-previews-of-windows-8-server-visual-studio-2011-net-4-and-4-5-sql-server-2012/
<–
Thanks for reading
Bryan

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New to the Algo/Strategy Development course includes Cointegration testing, Market Inefficiency Test, Random Walk, different type of returns

New to the Algo/Strategy Development course includes Cointegration testing, Market Inefficiency Test, Random Walk, different  type of returns

Here are the latest detailed video lessons I have added to the new Algo and Strategy Development course:

Maximize number of Intraday Sharpe Ratio

Random walk theory for market inefficiency

Cointegration based test on Market efficiency

Simple returns, log returns and average returns

Get more details here to get access to the course and other huge benefits including High Frequency Trading platform building, QuantLibXL analysis, Matlab, etc.

http://quantlabs.net/quant-member-benefits/slash-your-quant-learning-curve/

Thanks for reading

Bryan

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!