735 search results for "Finance"

Introduction to Asset Allocation

October 12, 2011
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Introduction to Asset Allocation

This is the first post in the series about Asset Allocation, Risk Measures, and Portfolio Construction. I will use simple and naive historical input assumptions for illustration purposes across all posts. In these series I plan to discuss: Maximum Loss, MAD, CVaR, CDaR, Omega Risk Measures 130:30 Long/Short portfolios and Cardinality Constraints Arithmetic and Geometric

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Where to find data to use with R

October 11, 2011
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(Contributing blogger Joe Rickert has put together a fantastic list of data sources suitable for use with R. If you're looking for data to use in the Applications of R Contest -- entries close October 31 -- this is a great resource for you -- Ed.) Hardly a day goes by without someone or something reminding me that we...

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The Work of the 1 Percent and the 0.1 Percent

October 10, 2011
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The Work of the 1 Percent and the 0.1 Percent

The Occupy Wall Street movement chants "We are the 99 percent, you are the 1 percent." It's a catchy refrain, and there are many excellent reasons to put the focus on Wall Street in the struggle for economic and political justice in the US. But even singling out one percent of the US means we

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Risk, Return and Analyst Ratings

October 7, 2011
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Risk, Return and Analyst Ratings

Today I want to discuss a connection between Risk, Return and Analyst Ratings. Let’s start with defining our universe of stocks : 30 stocks from Dow Jones Industrial Average (^DJI) index. For each stock I will compute the number of Upgrades and Downgrades, Risk, and Return in 2010:2011. I will run a linear regression and

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Visualizing Tables with plot.table

October 6, 2011
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Visualizing Tables with plot.table

plot.table function in the Systematic Investor Toolbox is a flexible table drawing routine. plot.table has a simple interface and takes following parameters: plot.matrix – matrix with data you want to plot smain – text to draw in (top, left) cell; default value is blank string highlight – Either TRUE/FALSE to indicate if you want to

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Reminder: One week til Rcpp class in San Francisco

October 1, 2011
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Just a quick note to remind everyone that the Rcpp class in San Francisco, which I am holding together with Revolution Analytics, will take place a week from today. We are happy to report that the number of registrations has met our initial target...

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ttrTests: Its Great Thesis and Incredible Potential

September 26, 2011
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ttrTests: Its Great Thesis and Incredible Potential

I stumbled on the ttrTests R package as mentioned in my post ttrTests Experimentation.  I did not recognize its potential until I spent much more time absorbing the basis of the package—David St. John’s thesis Technical Analysis Based on Movin...

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Are new SEC rules enough to prevent another Flash Crash?

September 22, 2011
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Are new SEC rules enough to prevent another Flash Crash?

At 2:42PM on March 10 2010, without warning, the Dow Jones Industrial Index plunged more than 1000 points in just 5 minutes. It remains the biggest one-day decline in this stock market index in history. On an intra-day basis, anyway: by the end of the day, the market had regained 600 points of the drop. At the time, the...

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Recession forecasting III: A Better Naive Forecast

September 20, 2011
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Recession forecasting III: A Better Naive Forecast

In Recession Forecasting Part II, I compared the accuracy of Hussman's recession forecasts to the accuracy of a naive forecast that assumed the current state of the recession variable would continue next month. An anonymous comment...

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How Lloyd’s of London uses R for Insurance

September 15, 2011
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How Lloyd’s of London uses R for Insurance

Lloyd's is the world's leading specialist insurance market, and is often the first to insure new, unusual or complex risks. So it's no surprise that Lloyd's is one of the many companies that use R and its advanced capabilities for data analysis to help manage its insurance risks. At the useR! conference last month, Lloyd's analysts Markus Gesmann, Viren...

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