Quantitative Finance
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Quantitative Finance
News, Slides and various discussions about quant finance
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Jamie Dimon: impact on U.S. banks of a Greek default is “almost zero”

Jamie Dimon: impact on U.S. banks of a Greek default is “almost zero” | Quantitative Finance | Scoop.it
Thu 26 Jan 12 | 06:00 AM ET...
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RStudio v0.95 Released

RStudio v0.95 Released | Quantitative Finance | Scoop.it
(This article was first published on RStudio Blog, and kindly contributed to R-bloggers) The final version of RStudio v0.95 is now available for download from our website (thanks to everyone who put the preview release through its paces...
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10 Friday AM Reads

10 Friday AM Reads | Quantitative Finance | Scoop.it
Some reads to start off your day: • Tech Giants’ Revenue Slows (WSJ) see also Google Cools Off, and Stock Drops (WSJ) • Josh Brown: It’s an RIA World, Everyone Else Just Lives in it (WSJ) • 5 Reasons QE3 Is Off The Table (Pragmatic Capitalism) but...
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Time Series Matching with Dynamic Time Warping

Time Series Matching with Dynamic Time Warping | Quantitative Finance | Scoop.it
THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only.
In the Time Series Matching post, I used one to one mapping to the compute distance between the query(current pattern) and reference(historical time series).
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How to Forecast Weather

How to Forecast Weather | Quantitative Finance | Scoop.it
We first looked at this back in 2010, but with sailing weather a mere 3 months away, its time to bring this back: > > Full graphic after the jump > click for giant version via Daily Infographic...
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Analyzing Federal Bailout Recipients in R

Analyzing Federal Bailout Recipients in R | Quantitative Finance | Scoop.it
(This article was first published on R, Ruby, and Finance, and kindly contributed to R-bloggers)
I was searching for open data recently, and stumbled on Socrata.
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Time Based Arbitrage Opportunities in Tick Data

Time Based Arbitrage Opportunities in Tick Data | Quantitative Finance | Scoop.it
(This article was first published on R, Ruby, and Finance, and kindly contributed to R-bloggers) I recently posted an introduction to the Kaggle Algorithmic Trading Challenge, which I competed in.I said that I would post about my...
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Time Series Matching

Time Series Matching | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only.
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Optimization for Finance with R

Optimization for Finance with R | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers) Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on...
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Aggregation and Restructuring data (from “R in Action”)

Aggregation and Restructuring data (from “R in Action”) | Quantitative Finance | Scoop.it
(This article was first published on R-statistics blog » R, and kindly contributed to R-bloggers)
The followings introductory post is intended for new users of R.
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Trading using Garch Volatility Forecast

Trading using Garch Volatility Forecast | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
Quantum Financier wrote an interesting article Regime Switching System Using Volatility Forecast.
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Multi-Asset Backtest : Rotational Trading Strategies

Multi-Asset Backtest : Rotational Trading Strategies | Quantitative Finance | Scoop.it
I want to discuss the implementation of Rotational Trading Strategies using the backtesting library in the Systematic Investor Toolbox.The Rotational Trading strategy switches investment allocations throughout the time, betting on few top ranked...
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Backtesting Rebalancing methods

Backtesting Rebalancing methods | Quantitative Finance | Scoop.it
I wrote about Rebalancing in the Asset Allocation Process Summary post. Deciding how and when to rebalance (update the portfolio to the target mix) is one of the critical steps in the Asset Allocation Process.
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The distribution of financial returns made simple

The distribution of financial returns made simple | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers) Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the...
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Time Series Intervention Analysis wih R and SAS

Time Series Intervention Analysis wih R and SAS | Quantitative Finance | Scoop.it
(This article was first published on Econometric Sense, and kindly contributed to R-bloggers)
In a previous post, I worked through the theory behind intervention analysis.
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Cycles of Financial Crises 1810 to 2010

Cycles of Financial Crises 1810 to 2010 | Quantitative Finance | Scoop.it
History Shots has a cool new graphic poster for sale looking at the long history of Financial Crises.
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R Regression Diagnostics Part 1

R Regression Diagnostics Part 1 | Quantitative Finance | Scoop.it
(This article was first published on R, Ruby, and Finance, and kindly contributed to R-bloggers)
Linear regression can be a fast and powerful tool to model complex phenomena.
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Sunday links: a skill shortage

Sunday links:  a skill shortage | Quantitative Finance | Scoop.it
Quote of the day
“We shouldn’t be criticized for using Chinese workers,” a current Apple executive said. “The U.S. has stopped producing people with the skills we need.”  (NYTimes)
Chart of the day
Should we trust the rally in the Shanghai Composite?
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Credit rating by country

Credit rating by country | Quantitative Finance | Scoop.it
(This article was first published on mages' blog, and kindly contributed to R-bloggers)
The financial crisis has put a lot of pressure on countries' long-term foreign currency credit ratings, with France recently being downgraded by S&P.
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R Cloud Services

R Cloud Services | Quantitative Finance | Scoop.it
(This article was first published on Rrasch, and kindly contributed to R-bloggers)
Ever since R was born (evoked?) geeks have been trying to get it to talk HTML. A list of web interfaces for R is updated on CRAN here.
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Installing quantstrat from R-forge and source

Installing quantstrat from R-forge and source | Quantitative Finance | Scoop.it
(This article was first published on Programming R, and kindly contributed to R-bloggers)
R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector.
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Decent returns beat no returns at all

Decent returns beat no returns at all | Quantitative Finance | Scoop.it
Equities as measured by the S&P 500 ended virtually unchanged for the calendar year 2011.  Were it not for dividends the year would have been a complete washout.  What 2011 did not lack was volatility.  Given the year’s performance one could argue...
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S&P 500 Sectors Analysis

S&P 500 Sectors Analysis | Quantitative Finance | Scoop.it
To follow up with last post, and also nicely tying into Engineering Returns’ recent sector rotational system I will show a factor decomposition of the S&P 500 from different sectors.
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Trading using Garch Volatility Forecast

Trading using Garch Volatility Forecast | Quantitative Finance | Scoop.it
Quantum Financier wrote an interesting article Regime Switching System Using Volatility Forecast. The article presents an elegant algorithm to switch between mean-reversion and trend-following strategies based on the market volatility.
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Rotational Trading Strategies: borrowing ideas from Engineering Returns

Rotational Trading Strategies: borrowing ideas from Engineering Returns | Quantitative Finance | Scoop.it
Frank Hassler at Engineering Returns blog wrote an excellent article Rotational Trading: how to reduce trades and improve returns. The article presents four methods to reduce trades:
Trade less frequently.
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