Much of my time lately has gone into analyzing and trading products in the volatility complex. As a result, I regularly watch the VIX term structure for continuations or deviations from trend. To make analysis simpler, I’ve written some… Read more ›

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Much of my time lately has gone into analyzing and trading products in the volatility complex. As a result, I regularly watch the VIX term structure for continuations or deviations from trend. To make analysis simpler, I’ve written some… Read more ›

Dear R experts, I sent this question to the r-help list but didn’t get much response, probably because it is more of a stats question. But as this blog is syndicated on r-bloggers I thought I would try it again here on this blog. If I am barking up the wrong tree, feel free to

When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix of returns over time to compute the (long-term) portfolio return. “A tale of two returns” tells us that aggregation over time is easiest to do in … Continue reading...

Here’s an addition to my last post on using Wikipedia data to analyse attention for the US presidential elections 2012. Here’s another look at the interest not for the candidates’ Wikipedia pages but the general pages for the elections 2008 and 2012. Compared to the candidates’ pages, the attention for the general

For now this is the last post about these football data. It started in August, by now it is November. But just to finish up; the model as it should have been last week.ModelAs most of what I did is described last week, only the model as it went in Jags...

Brian Caffo headlines the WaPo article about massive online open courses. He is the driving force behind our department’s involvement in offering these massive courses. I think this sums it up: `“I can’t use another word than unbelievable,” Caffo said. … Continue reading →

Eventually this will be a blog about a reformed physicist's forays into data analysis in the world of finance. I'll be using R, Python, d3 and anything else I can get my hands on to serve up some tasty nuggets of data!

Plotting large amounts of hourly atmospheric databody, td { font-family: sans-serif; background-color: white; font-size: 12px; margin: 8px; }tt, code, pre { font-family: 'DejaVu Sans Mono', 'Droid Sans Mono', 'Lucida Console',...