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Latest Articles

Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 2

In Part 1 we considered the Autoregressive model of order p, also known as the AR(p) model. We introduced it as an extension of the random walk model in an attempt to explain additional serial correlation in financial time series. Read more...

Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 1

In the last article we looked at random walks and white noise as basic time series models for certain financial instruments, such as daily equity and equity index prices. We found that in some cases a random walk model was insufficient to capture the full autocorrelation behaviour of the instrument, which motivates more sophisticated models. Read more...

White Noise and Random Walks in Time Series Analysis

In the last article of the Time Series Analysis series we discussed the importance of serial correlation and why it is extremely useful in the context of quantitative trading. Read more...

Serial Correlation in Time Series Analysis

In last week's article we looked at Time Series Analysis as a means of helping us create trading strategies. In this article we are going to look at one of the most important aspects of time series, namely serial correlation (also known as autocorrelation). Read more...

Forex Trading Diary #7 - New Backtest Interface

Although I've spent the majority of this month researching time series analysis for the upcoming article series, I've also been working on QSForex attempting to improve the API somewhat. Read more...