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In this article I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead. This is of particular interest to market makers to skew their bid/ask spread in the direction of the most favorable outcome. Most if not all the literature on the topic (see references …
April 30, 2023 -
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I know this topic is addressed on a very regular basis on the web but I’m pretty sure sharing my experience will help some finance people. I’m currently working on Limit Order Book modeling. This means dealing with fairly big data sets. I have around 1 million observations per stock and per day. So modeling …
March 15, 2023 -
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It has been more than a year since my last post, I’ve been super busy with consulting assignments working on algorithmic/electronic trading. The workload is still heavy but I managed to find a few hours to write this post as I came across a new great tool: LOBSTER (and before anyone asks I’ve no link …
December 18, 2023 -
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Nothing is more frustrating than a long piece of code with no standard way of naming elements, presenting code or organizing files. It’s not only unreadable but more importantly not reusable. Unfortunately, unlike other programming languages, R has no widely accepted coding best practices. Instead there has been various attempts to put together a few …
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I came across this excellent article lately “Machine learning at central banks” which I decided to use as a basis for a new cheat sheet called Machine Learning Modelling in R. The cheat sheet can be downloaded from RStudio cheat sheets repository. As the R ecosystem is now far too rich to present all available packages and …
March 22, 2018 -
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I’m very pleased to announce my DataCamp course on Visualizing Time Series Data in R. This course is also part of the Time Series with R skills track. Feel free to have a look, the first chapter is free! Course Description As the saying goes, “A chart is worth a thousand words”. This is why visualization …
June 26, 2017 -
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IQFeed provides streaming data services and trading solutions that cover the Agricultural, Energy and Financial marketplace. It is a well known and recognized data feed provider geared toward retail users and small institutions. The subscription price starts at around $80/month. Stanislav Kovalevsky has developed a package called QuantTools. It is an all in one package designed to enhance quantitative …
June 4, 2017 -
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A few months ago a reader point me out this new way of connecting R and Excel. I don’t know for how long this has been around, but I never came across it and I’ve never seen any blog post or article about it. So I decided to write a post as the tool is really …
November 30, 2016 -
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When testing trading strategies a common approach is to divide the initial data set into in sample data: the part of the data designed to calibrate the model and out of sample data: the part of the data used to validate the calibration and ensure that the performance created in sample will be reflected in the …
August 19, 2016 -
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fidlr is an RStudio addin designed to simplify the financial data downloading process from various providers. This initial version is a wrapper around the getSymbols function in the quantmod package and only Yahoo, Google, FRED and Oanda are supported. I will probably add functionalities over time. As usual with those things just a kind reminder: “THE SOFTWARE …
April 21, 2016