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The Capital Markets Research Based on the Financial Quantitative Models

Author

Listed:
  • Antoniade Ciprian ALEXANDRU

    (Ecological University of Bucharest - Faculty of Economics)

  • Nicoleta CARAGEA

    (Ecological University of Bucharest - Faculty of Economics)

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.

Suggested Citation

  • Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA, 2015. "The Capital Markets Research Based on the Financial Quantitative Models," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, vol. 1(1), pages 3-16, June.
    • Handle: RePEc:eub:ecoecr:v:1:y:2015:i:1:p:3-16
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    References listed on IDEAS

    as
    1. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
    2. Luo Xiao & Yingxing Li & David Ruppert, 2013. "Fast bivariate P-splines: the sandwich smoother," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(3), pages 577-599, June.
    3. repec:wyi:journl:002174 is not listed on IDEAS
    4. Caragea, Nicoleta & Alexandru, Ciprian Antoniade & Dobre, Ana Maria, 2012. "Bringing New Opportunities to Develop Statistical Software and Data Analysis Tools in Romania," MPRA Paper 48772, University Library of Munich, Germany.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    More about this item

    Keywords

    financial modeling; R; quantmod; capital market; trading models;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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