I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …Continue reading »

In my previous post I presented my findings from my finance project under the guidance of Dr Susan Thomas. The results in my paper suggested that there are macroeconomic variables, particularly the INR/USD exchange rates, that help us understand the dynamics of stock returns. Although the results that I obtained were significant at 5%...

The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for the year. If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, beat the Patriots. The birth … Continue reading...

The Multiple Factor Model can be used to decompose returns and calculate risk. Following are some examples of the Multiple Factor Models: The expected returns factor model: Commonality In The Determinants Of Expected Stock Returns by R. Haugen, N. Baker (1996) The expected returns factor model: CSFB Quantitative Research, Alpha Factor Framework on page 11,

Following on from the previous post here is an R function for visualising correlations between the explanatory variables in your data set. An interesting example is the North Carolina Crime data set that comes with the plm package. This has the following continuous variables: crmrte crimes committed per person prbarr probability of arrest prbarr probability … Continue reading...

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