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.
Paul and
Chase Carpenter
are the co-coordinators of the
Chicago R Users Group.
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.
