For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world. I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...

For me Kaggle becomes a social network for data scientist, as stackoverflow.com or github.com for programmers. If you are data scientist, machine learner or statistician you better off to have a profile there, otherwise you do not exist. Nevertheless, I won’t bet on rosy future for data scientist as journalists suggest (sexy job for next

What is the difference between Monte Carlo — as it is usually defined in finance — and random portfolios? The meaning of “Monte Carlo” The idea of “Monte Carlo” is very simple. It is a fancy word for “simulation”. As usual, it is all too possible to find incredibly muddied explanations of such a simple … Continue reading...

Two new local R user groups to report this week. In Turkey, the Ankara R Users Group has just started up. No meetings are scheduled yet, so be sure to suggest a meeting time/location when you sign up. The Toronto-based R Matlab Users group focuses on financial services applications. Created by Bryan Downing (who also produces the QuantLabs blog),...

I came across a very descriptive visualization of the Factor Attribution that I will replicate today. There is the Three Factor Rolling Regression Viewer at the mas financial tools web site that performs rolling window Factor Analysis of the “three-factor model” of Fama and French. The factor returns are available from the Kenneth R French:

Following the previous post on life contingencies and actuarial models in life insurance, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The second part of the talk (on Actuarial models with R) will be dedicated to longevity and mortality. A complete...

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