Blog Archives

That damn R-squared !

September 7, 2012
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That damn R-squared !

Another post about the R-squared coefficient, and about why, after some years teaching econometrics, I still hate when students ask questions about it. Usually, it starts with "I have a _____ R-squared... isn't it too low ?" Please, feel free to fi...

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Inference and autoregressive processes

September 6, 2012
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Inference and autoregressive processes

Consider a (stationary) autoregressive process, say of order 2,for some white noise with variance . Here is a code to generate such a process, > phi1=.5 > phi2=-.4 > sigma=1.5 > set.seed(1) > n=240 > WN=rnorm(n,sd=sigma) > ...

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Border bias and weighted kernels

August 31, 2012
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Border bias and weighted kernels

With Ewen (aka @3wen), not only we have been playing on Twitter this month, we have also been working on kernel estimation for densities of spatial processes. Actually, it is only a part of what he was working on, but that part on kernel estimation...

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Border bias and weighted kernels

August 31, 2012
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Border bias and weighted kernels

With Ewen (aka @3wen), not only we have been playing on Twitter this month, we have also been working on kernel estimation for densities of spatial processes. Actually, it is only a part of what he was working on, but that part on kernel estimation has been the opportunity to write a short paper, that can now be downloaded on hal. The problem...

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Visualizing uncertainty using Jackknife

July 1, 2012
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Visualizing uncertainty using Jackknife

Once again, I (re)discovered last week at the Rmetrics conference that old toolds can be extremely interesting to illustrate complex ideas, like uncertainty in fnancial markets, and stock prices. For instance a 99.5% quantile: we look for the scena...

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Simple and heuristic optimization

June 29, 2012
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Simple and heuristic optimization

This week, at the Rmetrics conference, there has been an interesting discussion about heuristic optimization. The starting point was simple: in complex optimization problems (here we mean with a lot of local maxima, for instance), we do not ne...

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Simple and heuristic optimization

June 29, 2012
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Simple and heuristic optimization

This week, at the Rmetrics conference, there has been an interesting discussion about heuristic optimization. The starting point was simple: in complex optimization problems (here we mean with a lot of local maxima, for instance), we do not necessarily need extremely advanced algorithms that do converge extremly fast, if we cannot ensure that they reach the optimum. Converging extremely fast, with a...

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Actuarial models with R, Meielisalp

June 23, 2012
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Actuarial models with R, Meielisalp

I will be giving a short course in Switzerland next week, at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The long...

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Pricing options on multiple assets (part 1) with trees

June 19, 2012
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Pricing options on multiple assets (part 1) with trees

I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. An with a matrix-based language (R for instance), it is extremely simple to compute almost everything. Even multiple assets options. Let us see how ...

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Date of death, birthday and Elvis Presley

June 18, 2012
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Date of death, birthday and Elvis Presley

10 days ago, a study published on http://www.annalsofepidemiology.org/ mentioned that "Death has a preference for birthdays" (as claimed in the title). The conclusion of the paper is that, in general, birthdays do not evoke a postponement mechanism...

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