358 search results for "quantmod"

Spreads and Stress

May 20, 2011
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Spreads and Stress

Since we have the Gifts from BAC ML and the Federal Reserve, I thought I should look at another interesting element of bonds.  Bond spreads act as a very strong symbol of financial stability and confidence.  The St. Louis Fed Stress Index is ...

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Wonderful New Blog TimeSeriesIreland

May 18, 2011
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Wonderful New Blog TimeSeriesIreland

I returned from Scotland to find a wonderful new blog from Ireland http://timeseriesireland.wordpress.com.  To highlight his work, I thought I would apply his most recent post AIB Stock Price, EGARCH-M, and rgarch to the S&P 500.  Clearly...

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Gifts from BAC ML and the Federal Reserve

May 17, 2011
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Gifts from BAC ML and the Federal Reserve

Bank of America Merrill Lynch and the Federal Reserve Bank of St. Louis Fed continue to surprise me with even more gifts.  This time they added Emerging Market Bond Indexes with history back to 1998 (cannot see Asia Pacific Crisis of 1997-1998 but...

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Russell Napier, ASIP in FT Says Emerging Market Currencies

May 17, 2011
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Russell Napier, ASIP in FT Says Emerging Market Currencies

Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...

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Omega as Optimizer

May 16, 2011
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Omega as Optimizer

During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...

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S&P 500 High Beta and Low Volatility Indexes and Powershares ETFs

May 5, 2011
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S&P 500 High Beta and Low Volatility Indexes and Powershares ETFs

There must be a useful insight, concept, or system provided by the new S&P 500 High Beta and Low Volatility Indexes.  Now with the announcement by Powershares of etfs for these indicies http://www.invescopowershares.com/volatility/, any of the...

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Bank of America Merrill Lynch Bond Returns on St. Louis Fed

May 4, 2011
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Bank of America Merrill Lynch Bond Returns on St. Louis Fed

After all my complaining about proprietary data, the St. Louis Federal Reserve announced today the availability of Bank of America Merrill Lynch Bond Indicies on their FRED site.  The data is limited in scope and duration, but accessibility especi...

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R Exercise with USDA Data

May 4, 2011
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R Exercise with USDA Data

After the helpful comment by Bradley on my post Commodity Index Estimators, How about the National Agricultural Statistics Service (NASS)? Looks like they have information for prices received back to 1908 for many agricultural goods (http://www.nass.u...

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CPI and US 10y Treasury Extreme –> System Idea

May 3, 2011
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CPI and US 10y Treasury Extreme –> System Idea

When I see extremes, I feel compelled to explore. The US 10y Treasury yield is at an extreme versus the annualized 3 month CPI rate of change. From TimelyPortfolio Of course, I have to try to build a system around the idea.  While this 3 mont...

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Commodity Index Estimators

May 2, 2011
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Commodity Index Estimators

In this post I will show my first try at a commodity index substitute.  Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data.  I hav...

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