Recent content by ignl

I never did anything with garch but there are some packages for multivariate garch (e.g. https://cran.r-project.org/web/packages/rmgarch/index.html). Did you try it or some other packages?

I might be wrong but I think this is not a bear market yet. Chinese still haven't capitulated yet and could potentially surprise us. This year is election year. Yield curve is not flat or inverted. Stronger jpy/eur might provide fuel for the stock market and summer might give some breathing room...

Yeah I am confused too. Chinese intervention which started the unwind of carry trades?

Yeah I noticed that too yesterday and become a bit hesitant to buy usdcad even though I planned to do just that @~1.4

Yes, you just need to register here: http://www.eia.gov/opendata/register.cfm And here you can browse what data you can access through API: http://www.eia.gov/opendata/qb.cfm

Most packages can be found through google. One interesting R package I found is this: https://cran.r-project.org/web/packages/EIAdata/index.html If you are trading energy and want to make sense of a lot of data that EIA provides R can be of tremendous help. You just need to get an EIA API key...

Best way to start for a begginer: https://www.datacamp.com/courses/free-introduction-to-r

Easy and nice visualizations, statistics, back testing etc.. Here is the blog to give you an idea how does it look like: https://quantstrattrader.wordpress.com/

Gold up, stocks up, seems market is pricing in very dovish fed. QE4? :)

On average maybe (counting the years with spikes to 1000+), but I think it usually ends up something like -100/-150 once it is clear that there will be enough gas for april. And this year it seems that we have plenty of gas. I think it could even go to record deep contango (big stockpiles, mild...

Anyone noticed OIL etf? http://www.zerohedge.com/news/2016-01-22/barclays-rigged-its-oil-etn-limiting-new-creation-units

Jeez how much Carl Icahn is loosing now on CHK and LNG? I guess maybe its safer to buy their bonds now. That way maybe it would be possible to get back at least some of the money in case of bankruptcy... What do you think about LNG export prospects? In a way cheap NG could be very good to them...

Also expensive position. Check out IB for example: https://www.interactivebrokers.com/en/index.php?f=interest&p=schedule2. Imagine you have a bad timing, chinese intervene for example and you get stuck with such a position in red and now have a difficult decision even if your long term premise...

IQFeed is easiest and cheapest option. You can try it out for free for 2 weeks.

Hmm one idea could be to try your luck with timing and buy BABA when real trouble with china banking sector starts. By that time it will probably be down a lot and dropping so buyer will need to prepare his ACD :D Currency devaluation usually lifts stock market up and promotes exports in a...