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# Tag Archives: R

## Fun with R and graphs on the dawn of 2014

There is some secret message hidden in this graph Let’s decode it Resulting in Wishing everyone a Happy New Year 2014, cheers!

## Portfolio Trading

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading

Posted in Uncategorized
Tagged dow jones index, machine learning, mean-reversion, portfolio, quantmod, R, strategy, trading
6 Comments

## Picturing Trees

Ā In this post I like to illustrate the R package “ape” for phylogenetic trees for the purpose of assembling trees. The function read.tree creates a tree from a text description. For example the following code creates and displays two … Continue reading

## Learning Kernels SVM

Machine Learning and Kernels A common application of machine learning (ML) is the learning and classification of a set of raw data features by a ML algorithm or technique. In this context a ML kernel acts to the ML algorithm … Continue reading

Posted in Uncategorized
Tagged kernel, kernlab, ksvm, machine learning, R, support vector machine, svm
2 Comments

## Volatility and Correlation

The implied option volatility reflects the price premium an option commands. A trader’s profit and loss ‘P&L’ from hedging option positions is driven to a large extend by the actual historical volatility of the underlying assets. Thus as option premiums … Continue reading

Posted in Uncategorized
Tagged Bloomberg, correlation structure, dow jones index, option volatility, quantmod, R, spreadsheet
3 Comments

## Simulation and resampling

In financial applications one frequently comes across the need to draw samples according to an assumed distribution. This could be because one wants to simulate stock prices for a Monte Carlo simulation, to price an option payout or to generate … Continue reading

Posted in Uncategorized
Tagged derivatives, Monte Carlo, particle filter, pricing, R, random, resampling, risk, simulation
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