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Quantitative Finance
News, Slides and various discussions about quant finance
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Permanent Portfolio – Simple Tools

Permanent Portfolio – Simple Tools | Quantitative Finance | Scoop.it
I have previously described and back-tested the Permanent Portfolio strategy based on the series of posts at the GestaltU blog.
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Computational Finance with R on Coursera

Computational Finance with R on Coursera | Quantitative Finance | Scoop.it
(This article was first published on FOSS Trading, and kindly contributed to R-bloggers) If you haven't signed up for the Introduction to Computational Finance and Financial Econometrics course taught by Eric Zivot on Coursera, it's not too...
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Permanent Portfolio

Permanent Portfolio | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
First, just a quick update: I’m moving the release date of the SIT package a few months down the road, probably in November.
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Coursera’s free online R course starts today

Coursera’s free online R course starts today | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers)
Coursera offers a number of on-line courses, all available for free and taught by experts in their fields.
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Example of Factor Attribution

Example of Factor Attribution | Quantitative Finance | Scoop.it
In the prior post, Factor Attribution 2, I have shown how Factor Attribution can be applied to decompose fund’s returns in to Market, Capitalization, and Value factors, the “three-factor model” of Fama and French.
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Factor Attribution 2

Factor Attribution 2 | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
I want to continue with Factor Attribution theme that I presented in the Factor Attribution post.
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Video: Getting staRted with R: An accelerated primer by Lyndon Walker – Melbourne R Users

Video: Getting staRted with R: An accelerated primer by Lyndon Walker – Melbourne R Users | Quantitative Finance | Scoop.it
(This article was first published on R User Groups, and kindly contributed to R-bloggers) This post shares the video from a talk presented on June 20 2012 by Dr Lyndon Walker (...
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Integrating R with other systems

A very good set of links to integrate R with other sets.

 

I just returned from the useR! 2012 conference for developers and users of R.

 

- One of the common themes to many of the presentations was integration of R-based statistical systems with other systems, be they other programming languages, web systems, or enterprise data systems.

 

- Some highlights for me were an update to Rserve that includes 1-stop web services, and a presentation on ESB integration.

 

- Although I didn’t see it discussed, the new httr package for easier access to web services is also another outstanding development in integrating R into large-scale systems.

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R starter resources

R starter resources | Quantitative Finance | Scoop.it
(This article was first published on Ben Mazzotta's Weblog » R, and kindly contributed to R-bloggers)
I’m hardly the first person you would want to talk to about learning statistics in R.
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Backtesting Classical Technical Patterns

Backtesting Classical Technical Patterns | Quantitative Finance | Scoop.it
In the last post, Classical Technical Patterns, I discussed the algorithm and pattern definitions presented in the Foundations of Technical Analysis by A. Lo, H. Mamaysky, J. Wang (2000) paper.
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System from Trend Following Factors

System from Trend Following Factors | Quantitative Finance | Scoop.it
(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for...
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Cross Sectional Correlation

Cross Sectional Correlation | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
Diversification is hard to find nowadays because financial markets are becoming increasingly correlated.
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Volatility Position Sizing to improve Risk Adjusted Performance

Volatility Position Sizing to improve Risk Adjusted Performance | Quantitative Finance | Scoop.it
Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance.
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Big Issue with System Backtests

Big Issue with System Backtests | Quantitative Finance | Scoop.it
(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) Almost always, when I see a system backtested, the backtest assumes a static portfolio with no contributions or withdrawals.  This assumption only...
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Changes in optimization performance of gcc over time

Changes in optimization performance of gcc over time | Quantitative Finance | Scoop.it
(This article was first published on The Shape of Code » R, and kindly contributed to R-bloggers)
The SPEC benchmarks came out a year after the first release of gcc (in fact gcc was and still is one of the programs included in the benchmark).
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Minimum Correlation Algorithm Example

Minimum Correlation Algorithm Example | Quantitative Finance | Scoop.it
Today I want to follow up with the Minimum Correlation Algorithm Paper post and show how to incorporate the Minimum Correlation Algorithm into your portfolio construction work flow and also explain why I like the Minimum Correlation Algorithm.
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Step up your R capabilities with new tools for increased productivity

Step up your R capabilities with new tools for increased productivity | Quantitative Finance | Scoop.it
(This article was first published on Stats raving mad » R, and kindly contributed to R-bloggers)
I guess a lot of us actually use many tools to accomplish various things in their everyday life.
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Strategy Diversification in R – follow up

Strategy Diversification in R – follow up | Quantitative Finance | Scoop.it
(This article was first published on rbresearch » R, and kindly contributed to R-bloggers)
The strategies used in Strategy Diversification in R were labeled as Strategy1 and Strategy2.
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Reproducible reports & research with knitr in R Studio

Reproducible reports & research with knitr in R Studio | Quantitative Finance | Scoop.it
(This article was first published on Pairach Piboonrungroj » R, and kindly contributed to R-bloggers)
Arguably, knitr (CRAN link) is the most outstanding R package of this year and its creator, Yihui Xie is the star of the useR!
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Quality R packages for quants

A very good list of ressources, worth to read

 

As a newbie to R, I thought it would be worthy to note a few quality R packages that seem to have more advanced some functionality that Matlab does not even give you. Here is my experience thus far:

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Data Mining with R

(This article was first published on Revolutions, and kindly contributed to R-bloggers)
Earlier this week, Revolution Analytics' Joe Rickert gave a webinar Introduction to R for Data Mining.
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Slides for R/Finance 2012

Slides for R/Finance 2012 | Quantitative Finance | Scoop.it
(This article was first published on tradeblotter » R, and kindly contributed to R-bloggers)
Another succeessful* year of R/Finance is behind us.
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Backtesting Classical Technical Patterns

Backtesting Classical Technical Patterns | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers) In the last post, Classical Technical Patterns, I discussed the algorithm and pattern definitions presented in the Foundations of Technical...
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Correlations, dimension, and risk measure

Correlations, dimension, and risk measure | Quantitative Finance | Scoop.it
(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison...
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Volatility Position Sizing to improve Risk Adjusted Performance

Volatility Position Sizing to improve Risk Adjusted Performance | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance.
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