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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta content="text/html;charset=ISO-8859-1" http-equiv="Content-Type">
<title>Quant Development LLC</title>
<link rel="stylesheet" type="text/css" href="/css/global.css">
<link rel="icon" type="image/x-icon" href="/images/favicon.ico">
</head>
<body>
<img src="/images/numbers-1.jpg"
title="Welcome to the public area of our web site" align="right">
<h1>Spread trading, R, etc.<br>
</h1>
These reports, papers, and posters cover topics of special interest to
me. The common theme is using R for quantitative spread trading.<br>
<ul>
<li>
<a href="CSP2019/UsefulTricksInR.html">Useful Tricks in R</a>
- Slides from a talk given at CSP 2019
</li>
<li>
<a href="CSP2018/HowToGiveAReallyAwfulPresentation.pdf">How To Give a Really Awful Presentation</a>
- Slides from a talk given at CSP 2018
</li>
<li>
<a href="CSP2017/ModelingProportionsAndProbabilities.pdf">Modeling Proportions and Probabilities</a>
- Slides from a talk given at CSP 2017
</li>
<li>
<a href="StateSpaceModels/index.pdf">Recipes for State Space Models in R</a>
- A how-to for creating state space models with StructTS and dlm
</li>
<li>
<a href="http://magazine.amstat.org/blog/2014/09/01/consultant/">The Accidental Consultant</a>
- A feature article from AMSTAT News, September 2014
</li>
<li>
<a href="BootstrappingTimeSeriesData">Bootstrapping Time Series Data</a>
- Materials from a talk given at CSP 2014
</li>
<li><a href="pdf/FasterRCode.pdf">Fast(er) R Code</a> - Some
hints for beginners on writing faster R code,
presented at the Chicago R User's Group Meet-up, November 2011. (PDF)</li>
<li><a href="pdf/betterHedgeRatios.pdf">Better Hedge Ratios for Spread
Trading</a> (paper) - Some notes on calculating hedge ratios for spread
trading. The note illustrates using <i>total least squares</i> as
an alternative to the usual ordinary least squares (OLS)
technique. Includes R code. (PDF)</li>
<li><a href="pdf/betterHedgeRatios-slides.pdf">Better Hedge Ratios</a>
for Spread Trading (slides) - A lightning talk given at R/Finance 2011.
(PDF) </li>
<li><a href="pdf/UseR2010Poster.pdf">UseR! 2010 Conference Poster</a> -
My poster was <i>R
Analytics for Spread Trading.</i> (PDF, 650K) </li>
<li><a href="pdf/CRUG_MeetUp.pdf">R Analytics for Spread
Trading: Some
Interesting Bits</a> - I
gave this lightning talk at the
Chicago R User's Group Meet-Up, August 2010. (PDF, 428K) </li>
<li><a href="html/testForCoint.html">Using R to Test Pairs of
Securities
for Cointegration</a> - Ernie Chan's
book, <span style="font-style: italic;">Quantitative Trading</span>,
uses Matlab to test two securities for cointegration.
Here's how to test using <span style="font-style: italic;">R</span>.</li>
<li><a href="html/spreadTradeForIEF.html">A Spread Trade for IEF</a>
-
Building a spread between a fixed-income ETF and Treasury futures.
(Draft only)</li>
<li><a href="html/findingSeasonalSpreads.html">Finding Seasonal
Spreads</a>
- Using ANOVA to identify seasonal patterns in futures spreads.</li>
<li><a href="pdf/predictingSwapSpreads.pdf">Predicting Swap
Spreads</a>
- A model for predicting the short-term direction of US interest-rate
swap spreads. (Implemented in SAS. They made me use it. PDF)<br>
</li>
</ul>
<br />
<hr width="98%">
<br />
<a href="http://www.linkedin.com/in/paulteetor">
<img
style="border: 0px solid ; width: 72px; height: 96px;"
alt="Paul Teetor" src="/images/prt.thumbnail.jpg"
title="Paul Teetor" align="left" hspace="10" vspace="10">
</a>
<a href="http://www.linkedin.com/in/paulteetor">Paul Teetor</a>
is a quantitative developer in the Chicago area, writing software for
portfolio managers, market makers, traders, and risk managers.
He works primarily with equities, futures, options, and the fixed-income markets,
with an emphasis on spread treading.
His consulting business is
<a href="http://quantdevel.com">Quant Development LLC</a>,
providing
<blockquote>
<blockquote>
<ul>
<li>Financial analytics</li>
<li>Statistical computing and consulting</li>
<li>Software engineering, and</li>
<li>Training and workshops for
<a href="http://www.r-project.org">R</a>,
the free software system for statistical computing and graphics.</li>
</ul>
</blockquote>
</blockquote>
<br clear="all">
<a href="http://oreilly.com/catalog/9781449394929/">
<img style="border: 0px solid ; width: 90px; height: 118px;"
alt="R Cookbook" src="/images/RCookbook-icon.gif" title="R Cookbook"
align="left" hspace="10" vspace="10"></a>
Paul and J. D. Long are co-authors of the
<span style="font-style: italic;">R Cookbook</span>
published by O'Reilly Media, available in a paper edition from <a href="http://www.amazon.com/dp/0596809158/">Amazon</a>,
or available on-line at <a href="https://rc2e.com/">rc2e.com</a>.
<br>
<br>
Here in Chicago, Paul recommends joining the
<a href="http://www.meetup.com/ChicagoRUG/">Chicago R Users Group</a>
to learn more about R.
<br />
<br />
You can reach Paul on <a href="http://www.linkedin.com/in/paulteetor">LinkedIn</a>,
<a href="https://bsky.app/profile/pteetor.bsky.social">Bluesky</a>,
or via e-mail at <span style="font-family: monospace;">paulteetor</span>
<span style="font-style: italic;">at</span>
<span style="font-family: monospace;">yahoo</span>
<span style="font-style: italic;">dot</span>
<span style="font-family: monospace;">com</span>.<br>
</body>
</html>