Monthly Archives: April 2012

Betas of the low vol cohorts

April 4, 2012
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Betas of the low vol cohorts

How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios — the so-called low vol cohorts — as of 2007 and showed their performance up to about a month ago. “Rebalancing the low vol cohorts” looked at … Continue reading...

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How R Searches and Finds Stuff

April 4, 2012
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How R Searches and Finds Stuff

Or… How to push oneself down the rabbit hole of environments, namespaces, exports, imports, frames, enclosures, parents, and function evaluation? Motivation There are a few reasons to bother reading this post: Rabbit hole avoida...

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Rudd, the last one standing?: Federal implications of QLD state election results

April 4, 2012
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Rudd, the last one standing?: Federal implications of QLD state election results

Labor won 15 of Queensland’s 29 House of Reps seats in the 2007 Federal election (AEC details here). Yet just three years later, in the 2010 Federal election, Labor won only 8 of 30 Queensland Reps seats, with 33.6% of 1st preferences (a swing of -9.3 percentage points). Labor’s best performance on 1st preferences in

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Review: Kölner R Meeting 30 March 2012

April 4, 2012
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Review: Kölner R Meeting 30 March 2012

The first Kölner R user meeting was great fun. About 20 useRs had turned up to exchange their ideas, questions and experience with R. Three talks about R & Excel, ggplot2 & XeLaTeX and Dynamical systems with R & simecol had kicked off the evening, wit...

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Regression – covariate adjustment

April 3, 2012
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Linear regression is one of the key concepts in statistics . However, people are often confuse the meaning of parameters of linear regression - the intercept tells us the average value of y at x=0, while the slope tells us how m...

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What are the distributions on the positive k-dimensional quadrant with parametrizable covariance matrix? (bis)

April 3, 2012
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What are the distributions on the positive k-dimensional quadrant with parametrizable covariance matrix? (bis)

Wondering about the question I posted on Friday (on StackExchange, no satisfactory answer so far!), I looked further at the special case of the gamma distribution I suggested at the end. Starting from the moment conditions, and the solution is (hopefully) given by the system The resolution of this system obviously imposes conditions on those

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Simulated War

April 3, 2012
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I am quite interested in both Wars with sabres and Sabremetric WARs but the War I am most involved in is the card game. Unfortunately, it is one my six year old favourites and he is quite happy to while away the hours (literally) playing it with anyone pressganged into joining him I must admit

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CLIWOC (British, Spanish and Dutch shipping 1750-1855): Getting the data into R

April 3, 2012
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on the Spatial analysis blog a nice visualisation of the major shipping route of the British, Dutch and Spanish fleet in 1750-1850 was presented recently. based on the Climatological Databases for the World's Oceans (CLIWOC). another even nicer visuali...

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Zurich, Mar 2012 – Stable Portfolios

April 3, 2012
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(This article was first published on Rmetrics blogs, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on their blog: Rmetrics blogs. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave,...

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Zurich, Feb 2012 – Stability Parity Indexation

April 3, 2012
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(This article was first published on Rmetrics blogs, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on their blog: Rmetrics blogs. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave,...

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