- 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)
- Formatting R Output with HTML - A lightning talk given at the Chicago R User's Group Meet-Up, June 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)
- Getting Started With R: Some Resources - A few introductions, tutorials, books, and sources of help which will be useful for beginners.
- 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.
- Characterizing Risk in the "2 Trades a Day" Trading System - Jason Hales sells a cute system for trading the Dow Jones mini futures. But what is the likely drawdown? (Note: As of late 2011, it appears that Mr. Hales no longer sells this trading system.)
- 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 traders, portfolio managers, market makers, and risk managers. Spread trading is his life's blood. He works primarily with futures, options, and the fixed-income markets. 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 is the author of the R Cookbook published by O'Reilly Media, available either from the publisher or on Amazon. He also wrote 25 Recipes for Getting Started with R, an excerpt of recipes from the R Cookbook, especially chosen for beginners.

Paul is a co-coordinator of the Chicago R Users Group.

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