BacktestingFXQuant tradingZorro
Exploiting The Non-Farm Payrolls Drift
Anyone that’s been around the markets knows that the monthly release of the United States Department of Labor’s Non-Farm Payrolls
Exploiting The Non-Farm Payrolls Drift
-
-
OptionsQuant tradingRWeekly Roundup 29 May – Crash Protection, Sloppy Regressions and Data Munging Skillz
Here’s a round-up of our new articles this week. They cover crash protection, sloppy, noisy regressions, and data-munging skills. Finding
-
RTools of the tradePerformant R Programming: Chunking a Problem into Smaller Pieces
When data is too big to fit into memory, one approach is to break it into smaller pieces, operate on
-
Quant tradingRTools of the tradeHow to Fill Gaps in Large Stock Data Universes Using tidyr and dplyr
When you’re working with large universes of stock data you’ll come across a lot of challenges: Stocks pay dividends and
-
OptionsQuant tradingRFind Cheap Options for Effective Crash Protection Using Crash Regressions
One way we can quantify a stock’s movement relative to the market index is by calculating its “beta” to the
-
PythonTools of the tradeRolling and Expanding Windows For Dummies
In today’s article, we are going to take a look at rolling and expanding windows. By the end of the
-
OptionsQuant tradingRTools of the tradeTrading strategiesWeekly Roundup 22 May – Doubling Down in Losing Trades Like a Drunken Hedge Fund Manager
Here’s a round-up of our new articles this week. They cover options trading, digital signal processing, data munging and Kris’s luxurious
-
RTools of the tradeHandling a Large Universe of Stock Price Data in R: Profiling with profvis
Recently, we wrote about calculating mean rolling pairwise correlations between the constituent stocks of an ETF. The tidyverse tools dplyr
-
RTools of the tradeHow to Wrangle JSON Data in R with jsonlite, purr and dplyr
Working with modern APIs you will often have to wrangle with data in JSON format. This article presents some tools
-
Quant tradingRTrading strategiesZorroUsing Digital Signal Processing in Quantitative Trading Strategies
In this post, we look at tools and functions from the field of digital signal processing. Can these tools be
-
RTools of the tradeHow to Calculate Rolling Pairwise Correlations in the Tidyverse
How might we calculate rolling correlations between constituents of an ETF, given a dataframe of prices? For problems like this,
-
PythonRTools of the tradeHow to Run Python from R Studio
Modern data science is fundamentally multi-lingual. At a minimum, most data scientists are comfortable working in R, Python and SQL;