Hi Igor, thanks again for such a great post. As usual I'd like to replicate your results on my own and I've been able to get the data for the JPY/USD exchange rate from QUANDL (1/1/2009 - 11/30/2014) and save them in the variable named "jpyhdata" but I'm wondering about the contents of the variable "win" that you use in the TimeSeriesAggregate commands. May I know what information it contains? How can I create it? Many thanks in advance, Ruben

Hi Igor, thanks a lot! Regards, Ruben

Hi Igor, I have tried to replicate your results related to the cumulants and the gaussian filter but I haven't been able to get the same results as you. All the previous calculations were ok. Here's my code and the resulting graphs:

cs = TimeSeriesAggregate[jpyhdata, "Quarter", Cumulant[#, 2] &];
SmoothHistogram[cs, PlotTheme -> "Business", PlotStyle -> Red, 
 Filling -> Axis, FillingStyle -> Yellow]

DateListPlot[GaussianFilter[hvol, 4], PlotTheme -> "Web", 
 PlotStyle -> Blue, PlotLabel -> "Volatility with Gaussian Filter"]

May I know what I'm doing incorrectly? Many thanks in advance, Ruben

Igor, thanks a lot for the file! The main problem with my approach was that the structure of the data was not in the time series format. I just used Import. However, I'm mystified by the use of "JPY=X" in the FinancialData command in Mathematica. Is this use documented somewhere? By the way, I think your materials are excellent for showing Mathematica's capabilities in finance and risk management and I'm looking forward to reading more of them. Regards, Ruben

Hi Igor, thanks a lot for the explanation. I'm just frustrated that the FinancialData command is not consistent. For example this will work:

FinancialData["USD/JPY"]

but this will not:

FinancialData["USD/JPY", {{2009, 1, 1}, {2014, 11, 07}}]

The correct way is what you did:

FinancialData["JPY=X", {{2009, 1, 1}, {2014, 11, 07}}]

But this last command template is documented nowhere as far as I know :-(

Regards, Ruben

How do we detect patterns in BTC/USD (Bitcoin/US Dollar) and BTC/LTC (Bitcoin/Litecoin) prices/trading volumes by hooking into Bloomberg Link and cryptocoincharts API?

Thanks for your quick response Igor! Will try out your instructions. Any idea how to implement a Bayesian Regression Algorithm on historical prices of Bitcoins (BTC/USD); say from January 11, 2011 to March 20, 2015 and backtest it? Here's the link to the pdf file describing the algorithm: http://arxiv.org/pdf/1410.1231.pdf A bit of sample code to start on my own will help. I am really a novice when it comes to Mathematica.