We have been looking at a way to improve risk adjusted returns by using a volatility filter. Although we could use VIX or equivalent, it turns out that historical volatility will work just as well, if not a little better.
You can see part 1 here Digging into the VIX, and part 2 here What can we use...
In part 1, we took a look at VIX and the relationship it had between historical volatility and realized volatility.Continuing on, I thought I would take a look at next day returns and the VIX. There is a relationship between SPX and VIX in that when SP...
I wanted to revisit using some sort of volatility filter for systematic trading. In particular, if we are trading SPX, can we somehow use the VIX to produce better risk adjust returns? This is not about trading volatility, but more about using addition...
This is a follow on from the post Using apply sapply and lappy in R.
The dataset we are using was created like so:
Background and ideaOften we are looking at a particular sector, and want to get a quick overview of a group of companies relative to one another. I thought I might apply Multidimensional Scaling (MDS) to various financial ratios and see if it...
In 2006 Mebane Faber published a great piece of research detailing an asset allocation system that was both very easy to understand and implement, as well as carrying very respectable risk adjusted returns.The details are available in his paper&nb...
This is a post that has been a long time in the making. Following on from the excellent Stanford Machine Learning Course I have made examples of the main algorithms covered in R.We have Linear RegressionFollowed by Neural NetworksAnd Support ...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
