717 search results for "finance"

Specific differences between Ledoit-Wolf and factor models

May 22, 2011
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Specific differences between Ledoit-Wolf and factor models

What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with constraints on the risk fractions of a Ledoit-Wolf variance matrix, and a corresponding set of random portfolios with risk fraction constraints from a statistical factor model. … Continue reading...

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Long XLU Short SPY

May 20, 2011
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Long XLU Short SPY

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I spend my days and nights wondering what a bond manager should do if he/she doesn’t like bonds, but also cannot sit in 0% cash.  I generally dislike spreads...

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10 reasons why you should learn R

May 20, 2011
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10. Can't crack that hard Sudoku problem?? Use R!9. Want to pick a skill that will give you an early adopter advantage?? Learn R! It is the leading open source statistical and data analysis programming language, and is heating up! 8. Need to ...

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10 reasons why you should learn R

May 20, 2011
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10. Can't crack that hard Sudoku problem?? Use R!9. Want to pick a skill that will give you an early adopter advantage?? Learn R! It is the leading open source statistical and data analysis programming language, and is heating up! 8. Need to ...

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Russell Napier, ASIP in FT Says Emerging Market Currencies

May 17, 2011
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Russell Napier, ASIP in FT Says Emerging Market Currencies

Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...

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AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
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AIB Stock Price, EGARCH-M, and rgarch

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

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In case you missed it: April Roundup

May 17, 2011
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In case you missed them, here are some articles from April of particular interest to R users. The Heritage Health Prize, a competition to build predictive models for hospitalization with USD$3.2M in prizes, is open. The Inside-R.org community site now provides the ability to search and view the help files for CRAN packages. Revolution R Enterprise 4.3 released: R...

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Omega as Optimizer

May 16, 2011
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Omega as Optimizer

During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...

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quantmod makes it easy to watch silver prices crash in R #rstats

May 7, 2011
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quantmod makes it easy to watch silver prices crash in R #rstats

Jeffrey Ryan's quantmod package makes it simple to download and graph pricing data from a variety of sources. A couple of lines of R is all it takes to see that silver has had a very bad week.

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First Answer to My Own Question-Combine LSPM and Mahalanobis

May 2, 2011
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First Answer to My Own Question-Combine LSPM and Mahalanobis

I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend.  You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages.  I hate that I coul...

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