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Econometry of Financial Markets with R-project

RT @Piboonrungroj: Econometry of Financial Market with R-project
by Daniel Herlemont
http://t.co/ltO8a3II2E #rstats #econ #finance #Econometrics
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Algorithmic Trading and Market Microstructure
Man vs. Robot on the bleeding edge of computational finance
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Informed Options Trading prior to M&A Announcements: Insider Trading?

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Tristan Lamonica's curator insight, September 22, 2014 4:52 PM

Stock trading during mergers and acquisitions can be tricky and suspicious. Insiders Trading is also very relevant in the crypto-currency world due to the lack of regulation. I think I found my next article to read...

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Momentum and Markowitz: A Golden Combination by Wouter J. Keller, Adam Butler, Ilya Kipnis :: SSRN

Momentum and Markowitz: A Golden Combination by Wouter J. Keller, Adam Butler, Ilya Kipnis :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
Mean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-
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Three of the all-time top ten SSRN Econometrics: Math papers are...

The Social Science Research Network’s Econometrics: Mathematical Methods and Programming eJournal distributes working and accepted paper abstracts in the area of mathematical methods applied to econometrics. The journal maintains a list of the All Time Top Ten Papers of the journal, based on...
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Interconnectedness of the Banking Sector as a Vulnerability to Crises by Michela Rancan, Peter Sarlin, Tuomas A. Peltonen :: SSRN

Interconnectedness of the Banking Sector as a Vulnerability to Crises by Michela Rancan, Peter Sarlin, Tuomas A. Peltonen :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
This paper uses domestic and cross-border linkages to measure the interconnectedness of the banking sector, and relates it to banking crises in Europe. Beyond c
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Amazon.com: Mastering R for Quantitative Finance eBook: Edina Berlinger, Ferenc Illés, Milán Badics, Ádám Banai, Gergely Daróczi, Barbara Dömötör, Gergely Gabler, Dániel Havran, Péter Juhász, Istvá...

Mastering R for Quantitative Finance - Kindle edition by Edina Berlinger, Ferenc Illés, Milán Badics, Ádám Banai, Gergely Daróczi, Barbara Dömötör, Gergely Gabler, Dániel Havran, Péter Juhász, István Margitai, Balázs Márkus, Péter Medvegyev, Julia Molnár, Szűcs Balázs Árpád, Ágnes Tuza, Tamás Vadász, Kata Váradi, Ágnes Vidovics-Dancs. Download it once and read it on your Kindle device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading Mastering R for Quantitative Finance.
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Criminal Charges Against Agents Reveal Staggering Corruption in the Silk Road Investigation

Criminal Charges Against Agents Reveal Staggering Corruption in the Silk Road Investigation | Algorithmic Trading and Market Microstructure | Scoop.it
The Silk Road case was compromised again and again as Force and Bridges took every opportunity to embezzle and steal money. With so much bitcoin on their hands, the two had to coax bitcoin and payments companies to help convert their ill-gotten gains. When companies resisted, investigations were launched, subpoenas were issued, and civil forfeitures were sought in retaliation.
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Factor Evaluation in Quantitative Portfolio Management

Factor Evaluation in Quantitative Portfolio Management | Algorithmic Trading and Market Microstructure | Scoop.it
When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the lat...
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An Update On EAA and a Volatility Strategy

An Update On EAA and a Volatility Strategy | Algorithmic Trading and Market Microstructure | Scoop.it
Again, before starting this post, I'd like to inform readers that the book Quantitative Trading With R, written by Harry Georgakopoulos, with contributions from myself, is now available for order o...
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Adding a Risk-Free Rate To Your Analyses

Adding a Risk-Free Rate To Your Analyses | Algorithmic Trading and Market Microstructure | Scoop.it
First off, before beginning this post, I'd like to make my readers aware of the release of a book that I contributed almost an entire chapter for. Quantitative Trading With R is a primer on quantit...
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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

Why Backtesting On Individual Legs In A Spread Is A BAD Idea | Algorithmic Trading and Market Microstructure | Scoop.it
So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted its writing in the first place. Basically, the reason I wrote it, as I ...
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Vulnerability announced: update your Git clients

Vulnerability announced: update your Git clients | Algorithmic Trading and Market Microstructure | Scoop.it
A critical Git security vulnerability has been announced today, affecting all versions of the official Git client and all related software that interacts with Git repositories, including GitHub for Windows and GitHub for Mac. Because this is a client-side only vulnerability, github.com and GitHub Enterprise are not directly affected.

The vulnerability concerns Git and Git-compatible clients that access Git repositories in a case-insensitive or case-normalizing filesystem. An attacker can craft a malicious Git tree that will cause Git to overwrite its own .git/config file when cloning or checking out a repository, leading to arbitrary command execution in the client machine. Git clients running on OS X (HFS+) or any version of Microsoft Windows (NTFS, FAT) are exploitable through this vulnerability. Linux clients are not affected if they run in a case-sensitive filesystem.

We strongly encourage all users of GitHub and GitHub Enterprise to update their Git clients as soon as possible, and to be particularly careful when cloning or accessing Git repositories hosted on unsafe or untrusted hosts.

Repositories hosted on github.com cannot contain any of the malicious trees that trigger the vulnerability because we now verify and block these trees on push. We have also completed an automated scan of all existing content on github.com to look for malicious content that might have been pushed to our site before this vulnerability was discovered. This work is an extension of the data-quality checks we have always performed on repositories pushed to our servers to protect our users against malformed or malicious Git data.

Updated versions of GitHub for Windows and GitHub for Mac are available for immediate download, and both contain the security fix on the Desktop application itself and on the bundled version of the Git command-line client.

In addition, the following updated versions of Git address this vulnerability:


The Git core team has announced maintenance releases for all current versions of Git (v1.8.5.6, v1.9.5, v2.0.5, v2.1.4, and v2.2.1).
Git for Windows (also known as MSysGit) has released maintenance version 1.9.5.
The two major Git libraries, libgit2 and JGit, have released maintenance versions with the fix. Third party software using these libraries is strongly encouraged to update.


More details on the vulnerability can be found in the official Git mailing list announcement and on the git-blame blog.
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Risk as a "Survival Variable"

Risk as a "Survival Variable" | Algorithmic Trading and Market Microstructure | Scoop.it
I come across a lot of strategies on the blogosphere some are interesting some are a complete waste of time but most share a common feature: people developing those strategies do their homework in ...
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Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting

Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting | Algorithmic Trading and Market Microstructure | Scoop.it
Several readers, upon seeing the risk and return ratio along with other statistics in the previous post stated that the result may have been the result of data mining/over-optimization/curve-fittin...
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The Fed accidentally released a confidential analysis of where interest rates are going

The Fed accidentally released a confidential analysis of where interest rates are going | Algorithmic Trading and Market Microstructure | Scoop.it
Confidential staff forecasts were inadvertently made public
M. Edward (Ed) Borasky's insight:

"The confidential data was posted online June 29 as part of a package of computer code for the Fed’s model of the U.S. economy that it makes publicly available."


I think it's high time the Fed got on the open data / reproducible research bandwagon and *proudly* published code and data, rather than considering such publication a "breach".

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Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices -- The Constrained Critical Line Algorithm

Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices -- The Constrained Critical Line Algorithm | Algorithmic Trading and Market Microstructure | Scoop.it
This post will feature the differences in the implementation of my constrained critical line algorithm with that of Dr. Clarence Kwan's. The constrained critical line algorithm is a form of gradien...
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Avon Stockholders Can't Take a Joke

Avon Stockholders Can't Take a Joke | Algorithmic Trading and Market Microstructure | Scoop.it
Algorithmic trading has really made markets unsafe for comedy.
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Odd Connections Inside The NASDAQ-100

Odd Connections Inside The NASDAQ-100 | Algorithmic Trading and Market Microstructure | Scoop.it
Distinguishing the signal from the noise requires both scientific knowledge and self-knowledge (Nate Silver, author of The Signal and the Noise) Analyzing the evolution of NASDAQ-100 stock prices c...
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Affidavit in support of criminal complaint against Navinder Singh Sarao

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What You Need to Know About the Unsealed Silk Road Docket

What You Need to Know About the Unsealed Silk Road Docket | Algorithmic Trading and Market Microstructure | Scoop.it
121 pages of previously sealed filings in the Silk Road trial were released yesterday. I read them so you don’t have to.
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Timely Portfolio: Is Time Series Clustering Meaningless? (lots of dplyr)

Timely Portfolio: Is Time Series Clustering Meaningless? (lots of dplyr) | Algorithmic Trading and Market Microstructure | Scoop.it
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Querying the Bitcoin blockchain with R

Querying the Bitcoin blockchain with R | Algorithmic Trading and Market Microstructure | Scoop.it
The crypto-currency Bitcoin and the way it generates "trustless trust" is one of the hottest topics when it comes to technological innovations right now. The way Bitcoin transactions always backtra...
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The Dow Jones: Beautiful Tree in the Desert

The Dow Jones: Beautiful Tree in the Desert | Algorithmic Trading and Market Microstructure | Scoop.it
The Dow Jones: Beautiful Tree in the Desert by Wim Grommen The Dow Jones Industrial Average (DJIA) Index is the only stock market index that covers both the second and the third industrial revolution.
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In Search of Lost ‘Time’: Algos Didn’t Wait on Fed Nuance

In Search of Lost ‘Time’: Algos Didn’t Wait on Fed Nuance | Algorithmic Trading and Market Microstructure | Scoop.it
The financial press, universally considered to be among the smartest not to mention best-looking humans on the planet, faced a conundrum yesterday when the Federal Reserve’s policy statement came out.
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Swedroe: Why Alpha’s Getting More Elusive | ETF.com

Swedroe: Why Alpha’s Getting More Elusive | ETF.com | Algorithmic Trading and Market Microstructure | Scoop.it
Beating the market was always hard, but who knew it’s literally becoming harder?
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Volatility Risk Premium: Sharpe 2+, Return to Drawdown 3+

Volatility Risk Premium: Sharpe 2+, Return to Drawdown 3+ | Algorithmic Trading and Market Microstructure | Scoop.it
First, before starting this post, I'd like to give one last comment about my previous post: I called Vanguard to inquire about the trading policies on VWEHX and VFISX, and there are two-month coold...
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