748 search results for "Finance"

With Size, Does Risk–>Return?

December 15, 2011
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With Size, Does Risk–>Return?

A basic tenet in finance is that higher risk should lead to higher return as the time horizon stretches to infinity.  However, in bonds, higher risk has not meant higher return with either credit risk (high-yield) or long duration risk (maturity &...

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Backtesting Minimum Variance portfolios

December 12, 2011
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Backtesting Minimum Variance portfolios

I want to show how to combine various risk measures I discussed while writing the series of posts about Asset Allocation with backtesting library in the Systematic Investor Toolbox. I will use Minimum Variance portfolio as an example for this post. I recommend reading a good discussion about Minimum Variance portfolios at Minimum Variance Sector

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UseR! 2011 slides and videos – on one page

December 11, 2011
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Links to slides and talks from useR 2011 - all organized in one page.Read more »

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LondonR recap

December 10, 2011
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LondonR recap

The biggest and perhaps best meeting yet. The talks James Long: “Easy Parallel Stochastic Simulations using Amazon’s EC2 & Segue”.  This was a lively talk about James’ package to use Amazon’s cloud to speed up a (huge) call to lapply.  The good part is that if you want to use Amazon as your cloud provider, … Continue reading...

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Improved Moving Average using intra-day EUR/USD FOREX

December 9, 2011
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Improved Moving Average using intra-day EUR/USD FOREX

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Improved Moving Average using intra-day EUR/USD FOREX(Fotis, Reason for Edit: Sample Dates Added) Hi everyone, Here we present the graphical illustrations from two cases that our improved moving average method provides better results compared to the rest. You can find the R-code...

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Call for Proposals for The R Series from Chapman & Hall/CRC

December 7, 2011
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(This is a guest post based on Calver, Rob e-mail to the R-help mailing list) We are delighted to announce that our new series of books on R is up and running, with two books already published and another nine forthcoming (including three set to publish in 2012). We are keen to receive proposals for books covering all aspects of...

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Improved Moving Average Code is available for download!

December 7, 2011
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Improved Moving Average Code is available for download!

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Improved Moving Average Code is available for download!Hi everyone, in the last few days we have received great feedback from you. Due to increasing demand we have made a short version of the original code available for personal use. Please let us...

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Applications of R in Business Contest: Final Entries

December 2, 2011
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The revision period for the Applications of R in Business Contest is now at a close, and the competitors have finalized their entries for a chance at $20,000 in prizes from Revolution Analytics. We're now in the judging phase, where the finalists will be rated on applicability to business, innovation and persuasiveness by an independent panel of judges from...

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Week in Review 021211 R Language

Week in Review 021211 R Language

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on

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C++ is dead. Long live C++

December 1, 2011
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C++ is dead. Long live C++

During the summer I was contacted by a hedge fund from Bahamas. The fund was looking for someone with R language skills on-site and insisted for phone interview. Besides obvious questions about finance, statistics, coding and how many tennis balls can fit in Boeing 747 (ok, this question was omitted), they wanted to know if

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