Blog Archives

Forecasting the Misery Index, follow-up

October 7, 2012
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Forecasting the Misery Index, follow-up

Five months ago I generated forecasts for the Eurozone Misery index. I used the built-in “FitAR” package in R. Using different models differing in their memory length (how many lags were considered for each model) 24 months ahead forecasts were … Continue reading →

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Volatility forecast evaluation in R

September 24, 2012
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Volatility forecast evaluation in R

In portfolio management, risk management and derivative pricing, volatility plays an important role. So important in fact that you can find more volatility models than you can handle (Wikipedia link). What follows is to check how well each model performs, … Continue reading →

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A shrinkage estimator for beta

August 28, 2012
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A shrinkage estimator for beta

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 →

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On Information Criteria for Autoregression

August 15, 2012
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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 →

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Forecasting the Eurozone Misery index

May 23, 2012
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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 →

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Stock market kurtosis over time

May 12, 2012
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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 →

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Kurtosis Interpretation

May 7, 2012
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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 →

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Marriage is good for your income

April 29, 2012
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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 →

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Backtesting trading strategies with R

April 21, 2012
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Few weeks back I gave a talk about Backtesting trading strategies with R, got a few requests for the slides so here they are:

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Most profitable hedge fund style

April 21, 2012
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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 →

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