# Blog Archives

## Bootstrap example

March 30, 2012
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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

March 15, 2012
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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 →

## Spurious Regression illustrated

March 4, 2012
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Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading →

## Live Rolling Correlation Plot

February 19, 2012
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Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading →

## piecewise regression

February 11, 2012
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A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading →

## Resistant Regression

January 29, 2012
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It is a fact that on most days, not much is going on in the stock market. When we estimate the relation of a stock with the market, or the “beta” of a stock, we use all available daily returns. … Continue reading →

## Price is right, part two – Trading strategy.

January 10, 2012
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Having stock market in mind, in the previous post: “Price is right, part one.”,  I stated that we should not think in terms of “the price went up/down too much” but that “the current price level is wrong since…. and … Continue reading →

December 20, 2011
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(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers) A few words for those of you who are not familiar with the “pairs trading” concept. First you should understand that the movement of every stock is dominated not by the companies performance but by the general market movement. This is the origin of...

## Do they really know what they are doing?

November 13, 2011
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I am talking here about money managers. for those of us who have one. We assume they understand about markets in such a way that they can, and will generate at least the benchmark returns, what ever this benchmark may … Continue reading →