- 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.