quanttrader.info: Spread
trading, R, etc.
These reports, papers, and posters cover topics of special interest to
me. The common theme is using R for quantitative spread trading.
- Fast(er) R Code - Some
hints
for beginners on writing faster R code,
presented at the Chicago R User's Group Meet-up, November 2011. (PDF)
- Formatting R Output with
HTML - A lightning talk given at the Chicago R User's Group
Meet-Up, June
2011. (PDF)
- Better Hedge Ratios for Spread
Trading (paper) - Some notes on calculating hedge ratios for spread
trading. The note illustrates using total least squares as
an alternative to the usual ordinary least squares (OLS)
technique. Includes R code. (PDF)
- Better Hedge Ratios
for Spread Trading (slides) - A lightning talk given at R/Finance 2011.
(PDF)
- UseR! 2010 Conference Poster -
My poster was R
Analytics for Spread Trading.
(PDF, 650K)
- R Analytics for Spread
Trading: Some
Interesting Bits - I
gave this lightning talk at the
Chicago R User's Group Meet-Up, August 2010. (PDF, 428K)
- Getting Started With
R:
Some Resources - A few
introductions, tutorials, books, and sources
of help which will be useful for beginners.
- Using R to Test Pairs of
Securities
for Cointegration - Ernie Chan's
book, Quantitative
Trading, uses Matlab
to test two securities for cointegration. Here's how to test
using R.
- Characterizing Risk in the "2 Trades a
Day" Trading
System - Jason Hales sells a
cute system for trading the Dow Jones
mini futures. But what is the likely drawdown? (Note: As of late 2011, it appears that
Mr. Hales no longer sells this trading system.)
- A Spread Trade for IEF
-
Building a spread between a fixed-income ETF and Treasury futures.
(Draft only)
- Finding Seasonal
Spreads
- Using ANOVA to identify seasonal patterns in futures spreads.
- Predicting Swap
Spreads
- A model for predicting the short-term direction of US interest-rate
swap spreads. (Implemented in SAS. They made me use it. PDF)
Paul
Teetor is
a
quantitative developer in the Chicago area who builds analytics for
traders, portfolio managers, and market makers.
Spread
trading is his life. He works
with futures, options, and stocks. You can reach him on LinkedIn,
Twitter,
or via e-mail at paulteetor
at
yahoo
dot
com.
Paul is the author of
the R
Cookbook published by
O'Reilly Media, available either from the publisher
or on Amazon.
He also wrote 25
Recipes for Getting
Started with R, an excerpt of
recipes from the R Cookbook,
especially chosen for
beginners.
