finance - Vik's Blog

Analyzing Federal Bailout Recipients in R

I was searching for open data recently, and stumbled on Socrata. Socrata has a lot of interesting data sets, and while I was browsing around, I found a data set on federal bailout recipients. Here is the data set. However, data sets on Socrata are not always the most recent

finance

Time Based Arbitrage Opportunities in Tick Data

I recently posted an introduction to the Kaggle Algorithmic Trading Challenge, which I competed in. I said that I would post about my experiences, and this is hopefully the first of a series. We were given tick data from the London Stock Exchange(specifically, the FTSE 100) over random time

finance

Time Series Cointegration In R

Cointegration can be a valuable tool in determining the mean reverting properties of 2 time series. A full description of cointegration can be found on Wikipedia. Essentially, it seeks to find stationary linear combinations of the two vectors. The below R code, which has been modified from here, will test

finance

Introduction To Kaggle Algorithmic

I recently participated in the Kaggle Algorithmic Trading Competition under the username VikP. For those who do not know what Kaggleis, it is a web site where individuals and corporations can host data analysis competitions. This particular competition involved the prediction of how the prices of 50,000 observations of