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RTrading strategies

The VIX Futures Basis

In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX”
OptionsQuant tradingR

Efficiently Simulating Geometric Brownian Motion in R

For simulating stock prices, Geometric Brownian Motion (GBM) is the de-facto go-to model. It has some nice properties which are
BacktestingQuant tradingZorro

Parameter Optimisation for Systematic Trading

Optimisation tools have a knack for seducing systematic traders. And what’s not to love? Find me the unique set of
BacktestingQuant tradingTrading as a businessTrading infrastructureZorro

A Review of Zorro for Systematic Trading

One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High
Think like a trader

Are SPX Options Expensive?

Options are non-linear financial products that allow you to do useful things that you can’t easily do with other financial
BacktestingFactorsQuant tradingRTrading strategies

Revenge of the Stock Pickers

To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
Quant tradingTime series modellingTrading strategies

A Vector Autoregression Trading Model

What is Vector Autoregression The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships
Machine learningRTools of the trade

The Graphical Lasso and its Financial Applications

Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
BacktestingQuant tradingRTrading strategiesZorro

Kalman Filter Pairs Trading with Zorro and R

In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
BacktestingQuant tradingRZorro

Integrating R with the Zorro Backtesting and Execution Platform

In the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented
CointegrationQuant tradingTrading strategiesZorro

Pairs Trading in Zorro

In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
BacktestingCointegrationQuant tradingRTime series modellingTrading strategies

Kalman Filter Example:
Pairs Trading in R

This Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.

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