The Capital Markets Research Based on the Financial Quantitative Models

Ciprian Alexandru and Nicoleta Caragea

Eco-Economics Review, 2015, vol. 1, issue 1, 3-16

Abstract: In last period of time, progress in statistics has been marked by the increasing availability of software, such as the most known and open source R system. This has the potential to continue the transformation from a set of techniques used and developed by statisticians and computer scientists to an essential system of analysis tools for a much larger community. This paper aims to expose a small part of the capability of R to use mix-andmatch models and quantitative modelling in order to build an alternative way to analyze capital markets based on a scientific scope beyond commercial purposes. For those that wish to use R for making Trading decisions, this paper is a short introduction which one can pursue in order to make trade on capital market using different response variables, signal thresholds, technical indicators and classifiers. Applying testing methods should be used to assess the performance of each model which the trading strategy is based on. The paper also provides a description of various packages in R that includes all necessary functionality for generating signals, extracting precision/recall metrics of generated models, performing estimates and evaluating trading strategies.

Keywords: financial modeling; R; quantmod; capital market; trading models (search for similar items in EconPapers)
JEL-codes: C13 C15 C18 C53 C58 C87 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ueb.ro/RePEc/eub/ecoecr/2015v1/eer2015v1a01.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eub:ecoecr:v:1:y:2015:i:1:p:3-16

Ordering information: This journal article can be ordered from
Ecological University of Bucharest 1G Vasile Milea St. Bucharest, Sector 6, 061341
http://www.eer.ueb.ro/

Access Statistics for this article

Eco-Economics Review is currently edited by Antoniade Ciprian Alexandru

More articles in Eco-Economics Review from Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty Ecological University of Bucharest 1G Vasile Milea St. Bucharest, Sector 6, 061341.
Bibliographic data for series maintained by Antoniade Ciprian Alexandru ().