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Spread trading, R, etc.

These reports, papers, and posters cover topics of special interest to me. The common theme is using R for quantitative spread trading.

Useful Tricks in R - Slides from a talk given at CSP 2019
How To Give a Really Awful Presentation - Slides from a talk given at CSP 2018
Modeling Proportions and Probabilities - Slides from a talk given at CSP 2017
Recipes for State Space Models in R - A how-to for creating state space models with StructTS and dlm
The Accidental Consultant - A feature article from AMSTAT News, September 2014
Bootstrapping Time Series Data - Materials from a talk given at CSP 2014
Fast(er) R Code - Some hints for beginners on writing faster R code, presented at the Chicago R User's Group Meet-up, November 2011. (PDF)
Better Hedge Ratios for Spread Trading (paper) - Some notes on calculating hedge ratios for spread trading. The note illustrates using total least squares as an alternative to the usual ordinary least squares (OLS) technique. Includes R code. (PDF)
Better Hedge Ratios for Spread Trading (slides) - A lightning talk given at R/Finance 2011. (PDF)
UseR! 2010 Conference Poster - My poster was R Analytics for Spread Trading. (PDF, 650K)
R Analytics for Spread Trading: Some Interesting Bits - I gave this lightning talk at the Chicago R User's Group Meet-Up, August 2010. (PDF, 428K)
Using R to Test Pairs of Securities for Cointegration - Ernie Chan's book, Quantitative Trading, uses Matlab to test two securities for cointegration. Here's how to test using R.
A Spread Trade for IEF - Building a spread between a fixed-income ETF and Treasury futures. (Draft only)
Finding Seasonal Spreads - Using ANOVA to identify seasonal patterns in futures spreads.
Predicting Swap Spreads - A model for predicting the short-term direction of US interest-rate swap spreads. (Implemented in SAS. They made me use it. PDF)

Paul Teetor 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 Quant Development LLC, providing

Financial analytics

Statistical computing and consulting

Software engineering, and

Training and workshops for R, the free software system for statistical computing and graphics.

Paul and J. D. Long are co-authors of the R Cookbook published by O'Reilly Media, available in a paper edition from Amazon, or available on-line at rc2e.com.

Here in Chicago, Paul recommends joining the Chicago R Users Group to learn more about R.

You can reach Paul on LinkedIn, Twitter, or via e-mail at paulteetor at yahoo dot com.