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More on higher moments: rolling skewness of S&P 500 daily returns

October 15, 2011
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More on higher moments: rolling skewness of S&P 500 daily returns

In this post, Portfolio Probe explores a way to decide whether market kurtosis and skewness are predictable. Market skewness, in naive financial modeling, is some kind of measure of (as-)symmetrical distribution of (daily) returns around the average market return. A higher skewness would tend to indicate a denser distribution of higher returns, compared to lower

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S&P 500 components heatmap in R

October 12, 2011
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S&P 500 components heatmap in R

In this article, Hans Gilde exposes the clever use of a heatmap hidden in the Bioconductor library. In his example, he describes a way to show different ‘observations’ on subjects, with the concept of time. Financial indices, like the S&P 500 or the Dow Jones indices, are mathematically some kind of measure of overall market

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Shared and reproducible computing with OpenCPU

September 7, 2011
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Shared and reproducible computing with OpenCPU

While looking for an online computing provider, I bumped into OpenCPU.org: OpenCPU is a new initiative to make innovations in statistics, visualization and data-science more widely applicable. I guess the idea of online analysis and visualization, and online cloud R computing platform isn’t really new at this point anymore, but the real incentive is the

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