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
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
- 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.
- UseR! 2010 Conference Poster -
My poster was R
Analytics for Spread Trading.
- R Analytics for Spread
Interesting Bits - I
gave this lightning talk at the
Chicago R User's Group Meet-Up, August 2010. (PDF, 428K)
- Getting Started With
Some Resources - A few
introductions, tutorials, books, and sources
of help which will be useful for beginners.
- Using R to Test Pairs of
for Cointegration - Ernie Chan's
Trading, uses Matlab
to test two securities for cointegration. Here's how to test
- Characterizing Risk in the "2 Trades a
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.
- Finding Seasonal
- Using ANOVA to identify seasonal patterns in futures spreads.
- Predicting Swap
- A model for predicting the short-term direction of US interest-rate
swap spreads. (Implemented in SAS. They made me use it. PDF)
is a quantitative developer in the Chicago area, writing software for
traders, portfolio managers, market makers, and risk managers.
Spread trading is his life's blood.
He works primarily with futures, options, and the fixed-income markets.
His consulting business is
Quant Development LLC,
- Financial analytics
- Statistical computing and consulting
- Software engineering, and
- Training and workshops for
the free software system for statistical computing and graphics.
Paul is the author of the
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
are the co-coordinators of the
Chicago R Users Group.
You can reach Paul on LinkedIn,
or via e-mail at paulteetor