Algorithmic Trading with Free Open Source Software. Tuesday, January 9, 2018. June 1 and 2, 2018. University of Illinois at Chicago. Will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. We invite you to submit complete papers in pdf format for consideration.

A resource for econometrics students and practitioners. Monday, March 19, 2018. The 2018 competition is the fourth in the series, and gets underway on 7 April at the University of Chicago.

Quantitative investment and trading ideas, research, and analysis. Friday, February 02, 2018. FX Order Flow as a Predictor. Order flow is signed trade size, and it has long been known to be predictive of future price changes. And I have made use of that to test a simple trading strategy using order flow on EURUSD. Finally, one more sanity ch.

Quantitative Trading, Statistical Arbitrage, Machine Learning and Binary Options. This post will investigate the power of the statistical tests in relation to pairs-trading for the following statistical tests ADF, BVR, HURST, PP, PGFF,. The general principal is that for two stocks. Using the conventional linear regression method cal.

Thoughts on Statistics and Machine Learning. In addition to being the best comedy TV show ever, Seinfeld was a great source of wisdom.

R financial time series tips everyone should know about. The xts package is the must have when it comes to times series in R. The example below loads the package and creates a daily time series of 400 days normaly distributed returns. It determines how the binding is done.

Monday, May 11, 2015. Every period I would rank each name on a bunch of different factors, then invest in the highest ranked ones for that month. One thing that is really cool about the pandas dataframe is that it allows multiple rows with the same index.

Sunday, May 3, 2015. Imagine a game with 10 Euros on the table and two participants, Hassan and John. Hassan decides how much of the 10 Euros to take for himself and how much to leave for John. This game is called an Ultimatum Game.

Using scientific methods to illuminate alpha sources. Visual expression is key in transmitting information between producers and users of research regardless of the scientific field. After many painful hours of re-writing code for plots in R based on the extensive ggplot2 package we finally created an easy-to-use overlay for making beautiful plots in R.