738 search results for "finance"

Transaction cost analysis and pre-trade analysis

April 20, 2011
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Transaction cost analysis and pre-trade analysis

Transaction cost analysis (TCA) is the framework to achieve best execution in trading context. TCA can be split into three groups: pre-trade analysis, intraday analysis, and post-trade measurement. Pre-trade analysis allows us to get insight about the future volatility of the price, forecast intra-day and daily volumes, market impact. It evaluates all strategies and advises

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Barron’s Spring 2008 Big Money Poll

April 19, 2011
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Barron’s Spring 2008 Big Money Poll

Barron's April 28, 2008, Cover Story "Back in the Pool" offers a great hindsight look at our wonderful foresight: “AND NOW, FOR SOME GOOD NEWS: THE OTHER SHOE isn't going to drop. After a winter of discontent marked by massive write-offs on Wall Str...

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Weight compared to risk fraction

April 18, 2011
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Weight compared to risk fraction

How well do asset weight constraints constrain risk? The setup In “Unproxying weight constraints” I claimed that many constraints on asset weights are really a proxy for constraining risk. That is not a problem if weights are a good proxy for risk.  So the question is: how good of a proxy are they? To give … Continue reading...

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Introduction to Cointegration and Pairs Trading

April 15, 2011
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Introduction to Cointegration and Pairs Trading

Introduction Suppose you see two drunks (i.e., two random walks) wandering around. The drunks don’t know each other (they’re independent), so there’s no meaningful relationship between their paths. But suppose instead you have a drunk walking with her dog. This … Continue reading →

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Download R 2.13.0 for Windows

Some of you may hear that the new release of R 2.13.0 is out, with some Windows-specific changes to R 2.13.0:file.exists() and unlink() have more support for files > 2GB;A few more file operations will now work with >2GB files.which could help us to relieve the worry of handling large datasets in R.

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The new R compiler package in R 2.13.0: Some first experiments

April 12, 2011
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R 2.13.0 will be released tomorrow. It contains a new package by R Core member Luke Tierney: compiler. What a simple and straightforward name, and something that Luke has been working on for several years. The NEWS file says o Package compiler is now provided as a standard package. See ...

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The new R compiler package in R 2.13.0: Some first experiments

April 12, 2011
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R 2.13.0 will be released tomorrow. It contains a new package by R Core member Luke Tierney: compiler. What a simple and straightforward name, and something that Luke has been working on for several years. The NEWS file says o Package compiler is now provided as a standard package. See ...

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Rcpp workshop / master class on April 28 in Chicago

April 6, 2011
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I realized I never announced this on the blog, so without further ado.... Rcpp Workshop in Chicago on April 28, 2011 This year's R/Finance conference will be preceded by a full-day masterclass on Rcpp and related topics which will be held on...

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Long EEM Short IWM-How it Works in 3 Ways

March 31, 2011
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Long EEM Short IWM-How it Works in 3 Ways

Long EEM Short IWM potentially works in 3 ways: 1) See my last post “Asian Currency Opportunity” where currency undervaluation means potential gain of 20-50% versus the US$ and 50%-100% versus the Japanese Yen.  However, even absent the underv...

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Rcpp workshop in Chicago on April 28th

March 30, 2011
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Overview This year's R/Finance conference will be preceded by a full-day masterclass on Rcpp and related topics which will be held on Thursday, April 28, 2011, the Univ. of Illinois at Chicago campus. Join Dirk Eddelbuettel and Romain Fr...

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