604 search results for "TRADING"

R-Bloggers’ Web-Presence

April 6, 2012
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We love them, we hate them: RANKINGS!Rankings are an inevitable tool to keep the human rat race going. In this regard I'll pick up my last two posts (HERE & HERE) and have some fun with it by using it to analyse R-Bloggers' web presence. I will use...

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How I Learned to Stop Worrying and Love Twitter

April 4, 2012
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In honor of Twitter making the decision to come to Detroit, here’s a special post on how I became a Twitter user. … At 3:30pm my wife called me. There was a shooting where my brother-in-law works at UPMC Western...

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Replacing market indices

April 2, 2012
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Replacing market indices

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896.  This was when computers were humans with adding machines (but they did do parallel processing).  At that point boiling “the market” down to a single number had value. … Continue reading...

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Quantitative finance and computational systems

April 1, 2012
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Quantitative finance and computational systems

I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the …Continue reading »

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Mapped: British, Spanish and Dutch Shipping 1750-1800

March 30, 2012
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Mapped: British, Spanish and Dutch Shipping 1750-1800

I recently stumbled upon a fascinating dataset which co

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Google summer of code 2012 – and R – a call for students

March 26, 2012
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Google summer of code 2012 – and R – a call for students

Google has again accepted R as a mentoring organization for Google Summer of Code. R has successfully participated in GSoC in multiple previous years, and is excited to be returning this year as a mentoring organization. In a nutshell:  If you are a student looking to write some code for the R community, Google is willing to pay you...

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Beta is not volatility

March 26, 2012
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Beta is not volatility

The missing link between beta and volatility is correlation. Previously “4 and a half myths about beta in finance” attempted to dislodge several myths about beta, including that beta is about volatility. “Low (and high) volatility strategy effects” showed a plot of beta versus volatility for stocks in the S&P 500 for estimates from 2006.  … Continue reading...

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Low (and high) volatility strategy effects

March 23, 2012
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Low (and high) volatility strategy effects

Does minimum variance act differently from low volatility?  Do either of them act like low beta?  What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing.  Here we look not at a single portfolio of a given strategy over time, but … Continue reading...

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When Big Data matters

March 21, 2012
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When Big Data matters

Big can be a qualitative as well as a quantitative difference. The gas in the ill-fated Hindenburg airship, the gas that formed our Sun, and the gas that formed the Milky Way galaxy were just lumps of hydrogen atoms (with varying impurities). The difference was in the number of atoms. But that difference in numbers made the three structures...

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Download and Parse DJ/UBS Commodities Indexes

March 16, 2012
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Download and Parse DJ/UBS Commodities Indexes

Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. Finally, it’s a good example of

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