Over at stats.stackexchange.com recently, a really interesting question was raised about principal component analysis (PCA). The gist was “Thanks to my college class I can do the math, but what does it MEAN?” I felt like this a number of times in my life. Many of my classes were focused on the technical implementations they kinda
Looking at a project you didn’t touch for years poses many challenges. The less documentation and organization you had in your files, the more time you’ll have to spend tracing back what you did back when the code was written. I just opened up such a project, that was before I ever knew to split my .r files to...
Yesterday night, we started the Hierarchical Bayesian Methods in Ecology workshop by trading stories. Everyone involved in the programme discussed his/her favourite dataset and corresponding expectations from the course. I found the exchange most interesting, like the one we had two years ago in Gran Paradiso, because of the diversity of approaches to Statistics reflected 
Patrick Burns is the author of several helpful R resources, including A Guide for the Unwilling S User, The R Inferno, and S Poetry. He also wrote one of my favorite critiques of Microsoft Excel: Spreadsheet Addiction. His writing is witty, entertain...
When I first came to finance, I kept hearing about “risk models”. I wondered, “What the hell is a risk model?” Of course, I didn’t say this out loud — that would have given the game away. My wife has strict instructions that she is to be the only one to know that I’m an … Continue reading...
Usually, intraday volatility exhibits a “smile” – it is high at open and close and it is lower during the trading day. DJI index, 5 min. intervals, CET time: MOS stock, 5 s. intervals, CET time: Because many readers of this blog are trading Nasdaq OMX Baltic stocks, it is worth to share my findings about volatility in
Here is a brief and simple example of switching systems based upon regime type (sometimes called gating). I've brought up the idea of conditioning systems based upon regimes many times in past posts. Some texts call this filtering, although I prefer t...
I wanted to briefly add one more thought regarding the temporal nature of probabilities as was alluded to in my correspondence with Adam, as well as the prior closing comments on the Chaos post (structure coalescing and dispersing).I will borrow from t...
When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ (/f) being less than the margin of its respective instrument. For example, assume the required margin for an instrument is $500, f$ is $100, an...
The presentations from April's successful R/Finance 2010 conference in Chicago are now available online. (Revolution Analytics is a proud sponsor of the conference.) There's some amazing content here for anyone looking for the cutting-edge of financial engineering, with presentations from practitioners and researchers at institutions like Invesco Asset Management, Black Mesa Capital, and some of the leading academic institutions...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
