Using random forest to model limit order book dynamic
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...continue reading.
Author: The R Trader
Speeding up your Python code
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...continue reading.
Converting LOBSTER demo R code into Python
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...continue reading.
R Code – Best practices
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...continue reading.
Machine Learning Modelling in R : : Cheat Sheet
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...continue reading.
Visualizing Time Series Data in R
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...continue reading.
Linking R to IQFeed with the QuantTools package
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...continue reading.
BERT: a newcomer in the R Excel connection
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...continue reading.
Trading strategy: Making the most of the out of sample data
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...continue reading.
Introducing fidlr: FInancial Data LoadeR
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...continue reading.
