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by Stale
August 19th, 2012, 7:13 pm
Forum: Programming and Software Forum
Topic: weekly averaging in R
Replies: 4
Views: 11258

weekly averaging in R

Ok. Then you've tried aggregate in timeSeries? Personally, I prefer timeSeries to xts/zoo since I think it is easier to work with. S
by Stale
August 19th, 2012, 5:59 pm
Forum: Programming and Software Forum
Topic: weekly averaging in R
Replies: 4
Views: 11258

weekly averaging in R

Hi,Tried to.weekly in the xts, or does it not suit your needs?S
by Stale
August 1st, 2012, 9:36 am
Forum: General Forum
Topic: Andreasen on young quants
Replies: 93
Views: 19298

Andreasen on young quants

DKK 2,75 for a beer.
by Stale
July 13th, 2012, 3:21 pm
Forum: Programming and Software Forum
Topic: Storing Real-time Data
Replies: 4
Views: 12810

Storing Real-time Data

<r>Seen this? <URL url="https://github.com/kafka399/TwsMongo">https://github.com/kafka399/TwsMongo</URL> Don't know if it will eat quotes at the rate you'll be feeding, but I'm sure it's a good start. I'd say stay away from SQL for high-speed stuff, and go for one of the document-oriented ones. The ...
by Stale
July 12th, 2012, 1:48 pm
Forum: Programming and Software Forum
Topic: Real time Strategy - R vs MATLAB
Replies: 19
Views: 17707

Real time Strategy - R vs MATLAB

QuoteOriginally posted by: barnyPython.+1
by Stale
June 6th, 2012, 10:46 pm
Forum: Careers Forum
Topic: trader role open
Replies: 8
Views: 15245

trader role open

<t>Betfair:Sports trader - tennisJOB PURPOSE As a Trader in the Sports team, you will be responsible for the risk management and trading for the General Sports products. ACCOUNTABILITIES - ACTIVITIES AND KEY DELIVERABLES -Monitor bets and liabilities;-Gather and record information for customer facto...
by Stale
June 5th, 2012, 3:39 pm
Forum: Student Forum
Topic: Mean-Reverting FX Options with Linear Trend in Mean Rate
Replies: 8
Views: 12381

Mean-Reverting FX Options with Linear Trend in Mean Rate

<r>I think there is some confusion with the notation used by the OP here...This paper would give the solution to my interpretation of the problem: <URL url="http://www.erasmusenergy.com/articles/19/1/Valuing-Energy-Options-in-a-One-Factor-Model-Fitted-to-Forward-Prices/Page1.html"><LINK_TEXT text="h...
by Stale
June 5th, 2012, 9:44 am
Forum: Student Forum
Topic: Mean-Reverting FX Options with Linear Trend in Mean Rate
Replies: 8
Views: 12381

Mean-Reverting FX Options with Linear Trend in Mean Rate

Replace your u by some mean-reverting process X_t and apply Ito to it.
by Stale
April 20th, 2012, 10:44 am
Forum: Trading Forum
Topic: automated-trading in commodities
Replies: 5
Views: 14759

automated-trading in commodities

Yes, I ment names and titles of papers.Anyway, I guess it is all about the fundamentals and some technical stuff as well. I'm sure some are doing automated stuff, look at EUAs at The Ice for instance. Seems to be order book-related.
by Stale
April 19th, 2012, 1:17 pm
Forum: Trading Forum
Topic: automated-trading in commodities
Replies: 5
Views: 14759

automated-trading in commodities

Hi,Care to share your sources?S
by Stale
April 2nd, 2012, 6:08 am
Forum: General Forum
Topic: Historical CO2-prices
Replies: 6
Views: 14729

Historical CO2-prices

by Stale
March 19th, 2012, 8:36 pm
Forum: Careers Forum
Topic: Which course to prepare for this job ?
Replies: 13
Views: 14833

Which course to prepare for this job ?

Hi,Could you please elaborate on the signal processing part? I'm thinking Fourier analysis, Kalman filters, general filtering (low- and high-pass), perhaps wavelets?Thanks,S
by Stale
March 7th, 2012, 9:44 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17940

Buy-Sell-Hold classification with Neural network

Even though you can predict up or down, can't you think of a distribution of returns that will make your +1 or -1 useless in the market?
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