From the course: Algorithmic Trading and Finance Models with Python, R, and Stata Essential Training
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Regressions in R
From the course: Algorithmic Trading and Finance Models with Python, R, and Stata Essential Training
Regressions in R
- [Instructor] One of the key tools that is often used by finance folks when developing algorithmic trading strategies is called linear regression. Firms like Renaissance Technologies, which are famous for their successful algorithmic trading, have used linear regression as a way to develop algorithmic trading strategies for decades. Now, of course, I can't tell you what the right strategies are. Even if I could, those are going to change over time, but linear regression is a great way to get started trying to identify relationships between variables that you can capitalize on in an algorithmic trading model, and you can do these kinds of linear regressions in R. I'm in the 03_05_Begin.R file in the RStudio program, and I've gone ahead and imported a new dataset for us, 03_05_Start_R, which just contains years, ticker symbols, and then accounting variables for a variety of different companies. And we don't have very large dataset here for reasons of, you know, kind of convenience and…
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