355 search results for "quantmod"

Slightly Different Use of Ralph Vince’s Leverage Space Trading Model

April 28, 2011
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Slightly Different Use of Ralph Vince’s Leverage Space Trading Model

In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...

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Bug Collector

April 26, 2011
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Bug Collector

Most are quite unamused to find an ant infestation in their kitchen around this time of year. Time to start spraying that stuff that's not supposed to be harmful to humans but that you always wonder if it is anyway. Some bugs, such as ant attacks or so...

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Great FAJ Article on Statistical Measure of Financial Turbulence Part 3

April 26, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence Part 3

Building on posts Great FAJ Article on Statistical Measure of Financial Turbulence and Great FAJ Article on Statistical Measure of Financial Turbulence Part 2, I will now build a system incorporating a new correlation-based measure of turbulence and a ...

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Great FAJ Article on Statistical Measure of Financial Turbulence Part 2

April 26, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence Part 2

I did not intend for this to be a multi-part series, but after some clear thinking at the beach over the weekend, I decided that it needed some more analysis.  For those of you that read the article or know Mahalanobis distance, the measure I pre...

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Milktrader: Quantitative finance in R

April 25, 2011
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The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and calculating daily returns with the dailyReturn function in the...

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Chop, Slice and Dice Your Returns in R

April 24, 2011
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Chop, Slice and Dice Your Returns in R

I have a knife rack on my kitchen wall with all my kitchen knives easily identifiable and accessible. I also have small scars on my hand where each knife can claim to have left a mark. It's not the knife's fault, of course. They hardly like being sudde...

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Great FAJ Article on Statistical Measure of Financial Turbulence

April 21, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence

I particularly liked this well-written paper, since unlike most academic research, I was able to understand it, replicate it, and incorporate it.  I know that the Financial Analyst Journal is not considered by the academic community as a top-ti...

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Non-standard assignment with getSymbols

April 21, 2011
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Non-standard assignment with getSymbols

I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod package. The power and simplicity

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New Favorite Test of US Monetary Policy Limits

April 20, 2011
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New Favorite Test of US Monetary Policy Limits

After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield.  Unfortunately, i...

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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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