An R package/interface to the ITCH Protocol for financial message data
Recently I was faced with a file compressed in NASDAQ’s ITCH-protocol, as I wasn’t able to find an R-package that parses and loads the file to R for me, I spent (probably) way to much time to write one, so here it is.
I recently had the opportunity to listen to some great minds in the area of high-frequency data and trading.
While I won’t go into the details about what has been said, I wanted to illustrate the importance of proper out-of-sample testing and proper variable lags in potential trade algorithms or arbitrage models that has been brought up.
The following entry explains a basic principle of finance, the so-called efficient frontier and thus serves as a gentle introduction into one area of finance: “portfolio theory” using R.
A second part will then concentrate on the Capital-Asset-Pricing-Method (CAPM) and its assumptions, implications and drawbacks.
You could say that the following post is an answer/comment/addition to Quintuitive, though I would consider it as a small introduction to parallel computing with snowfall using the thoughts of Quintuitive as an example.