experimental. think of the american community survey (acs) as the united states' census for off-years - the ones that don't end in zero. every year, one percent of all americans respond, making it the largest complex sample administered by ...
548 search results for "finance"
A Simple Model for Realized Volatility
The post has two goals: (1) Explain how to forecast volatility using a simple Heterogeneous Auto-Regressive (HAR) model. (Corsi, 2002) (2) Check if higher moments like Skewness and Kurtosis add forecast value to this model. It will be a high … Continue reading →
Variability in long-short decile strategy tests
How to capture return variability when testing strategies with long-short deciles. Traditional practice Question: Does variable X have predictive power for our universe of assets? A common scheme of quants to answer the question is to form a series of portfolios over time. The portfolio at each time point: is long the equal weighting of … Continue reading...
Discovering the quality of portfolio decisions
Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of $10 million. Initially there are 50 names in the portfolio. It also ends the year with 50 names but has up to 53 names during the … Continue reading...
xts and GSOC 2012
Josh Ulrich and Jeff Ryan mentored a Google Summer of Code (GSOC) project this summer focused on experimental functionality for xts in collaboration with R. Michael Weylandt, a student in operations research and financial engineering from Princeton. You might recognize Michael from his presentation at R/Finance this year, where he gave a talk entitled “A 
Escaping the simplex, part 1
Before tackling the main subject, two quick notes:I did not post for quite a while in part because I followed the Coursera online course Introduction to Computational Finance and Financial Econometrics. It was a nice refresher, extremely well pre...
Extending Commodity time series
I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for 
Functional programming with lambda.r
After a four month simmer on various back burners and package conflicts, I’m pleased to announce that the successor to …
Upcoming events
New Events Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading...
The estimation of Value at Risk and Expected Shortfall
An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously “The basics of Value at Risk and Expected Shortfall” provides an introduction to the subject. Starting ingredients Value at Risk (VaR) and Expected Shortfall (ES) are always about a portfolio. There are two basic ingredients that … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
