720 search results for "finance"

Shorting Mebane Faber

July 19, 2011
By
Shorting Mebane Faber

Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look.  Once ...

Read more »

Review: Financial Risk Forecasting – The Theory and Practice of Forecasting Market Risk, with Implementation in R and MATLAB by Jon Danielsson

July 16, 2011
By

Guest post to R-bloggers by Dr Kris Boudt. ——————– R has always been my favorite language to forecast financial risk in my research and consulting. But, I have been reluctant to use it in my lectures on financial risk. It is certainly not the absence of appropriate R packages that refrained me. On the contrary, there is a large...

Read more »

Revolution Newsletter: July 2011

July 14, 2011
By

The most recent edition of the Revolution Newsletter is out. The news section is below, and you read the full July edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Beta Test Revolution R Enterprise 5.0. Are you running R in a Microsoft environment? Revolution...

Read more »

A surprising(?) prediction about the S&P 500

July 12, 2011
By
A surprising(?) prediction about the S&P 500

Financial analyst Greg Troccoli was a lone wolf when he predicted in July 2010 that “If the Index held at or above our proprietary support zone (1000.00- 950.00 region), it would eventually trade to a new historical high within 12 - 18 months (July- December 2011 timeframe)”. For reference, the S&P500 all-time high was 1565.15, and it closed...

Read more »

Drawdown Control Can Also Determine Ending Wealth

July 11, 2011
By
Drawdown Control Can Also Determine Ending Wealth

As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth.  CHTTX was one of the best performers of the fou...

Read more »

In case you missed it: June Roundup

July 11, 2011
By

In case you missed them, here are some articles from June of particular interest to R users. Highlights of presentations from the R/Finance 2011 conference. Trulia uses R and statistical models to map local crime. Resources for data mining with R. K-means clustering on large data sets with the RevoScaleR package. Revolution Analytics' CTO David Champagne writes on real-time...

Read more »

R on the cloud

July 9, 2011
By

Just as scientists should never really have to think much about statistics, I feel that, in an ideal world, statisticians would never have to worry about computing. In the real world, though, we have to spend a lot of time building our own tools.It would be great if we could routinely run R with speed and memory limitations...

Read more »

The virtues of incoherence?

July 8, 2011
By

Kent Osband writes:

Read more »

Necessity to Explain CDS with A Regime Switching Model

Necessity to Explain CDS with A Regime Switching Model

Examining the determinants of credit default swap (CDS) spreads is a hot topic, CDS spread has displayed siginificant regime switching behaviour since the break of credit crisis, which can be seen from the old graph in the post Credit Default Spread a...

Read more »

Importing google news data to R

July 6, 2011
By
Importing google news data to R

I've been playing around lately with the stock market data available from google finance, through quantmod in R. Here's a function I've written (which depends on the R Data Science Toolkit), to pull news stories related to a stock from google, parse t...

Read more »