In the post pairs trading issues one of the problems raised was the unstable estimates of the stock’s beta with respect to the market. Here is a suggestion for a possible solution, which is not really a solution but more … Continue reading →
Blog Archives
On Information Criteria for Autoregression
Some knowledge about the bootstrapping procedure is assumed. In time series analysis, Information Criteria can be found under every green tree. These are function to help you determine when to stop adding explanatory variables to your model. The most famous … Continue reading →
Forecasting the Eurozone Misery index
Is Miss Stagflation coming to visit? The Misery index is the sum of inflation and unemployment rate. We would like them both to stay naturally low, and we are miserable when they are not. The index is currently floating in … Continue reading →
Stock market kurtosis over time
In the last decade we have observed an increase in computational power, information availability, speed of execution and stock market competition in general. One might think that, as a result, we are prone to larger shocks that occur faster than … Continue reading →
Kurtosis Interpretation
When you google “Kurtosis”, you encounter many formulas to help you calculate it, talk about how this measure is used to evaluate the “peakedness” of your data, maybe some other measures to help you do so, maybe all of a … Continue reading →
Marriage is good for your income
For those of you who are into machine learning, here you can find a cool collection of databases to play around with your favorite algorithm. I choose one out of the available 200 and fit a logistic regression model. The idea … Continue reading →
Backtesting trading strategies with R
Few weeks back I gave a talk about Backtesting trading strategies with R, got a few requests for the slides so here they are:
Most profitable hedge fund style
This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading →
Bootstrap example
Bootstrap your way into robust inference. Wow, that was fun to write.. Introduction Say you made a simple regression, now you have your . You wish to know if it is significantly different from (say) zero. In general, people look … Continue reading →
Europe most dangerous cities
When I was searching for data about U.S prison population, for another post, I run across eurostat, a nice source for data to play around with. I pooled some numbers, specifically homicides recorded by the police. A panel data for … Continue reading →
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
