1632 search results for "Time series"

CPI and US 10y Treasury Extreme –> System Idea

May 3, 2011
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CPI and US 10y Treasury Extreme –> System Idea

When I see extremes, I feel compelled to explore. The US 10y Treasury yield is at an extreme versus the annualized 3 month CPI rate of change. From TimelyPortfolio Of course, I have to try to build a system around the idea.  While this 3 mont...

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Commodity Index Estimators

May 2, 2011
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Commodity Index Estimators

In this post I will show my first try at a commodity index substitute.  Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data.  I hav...

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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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Commodities vs. commodity stocks

May 2, 2011
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Commodities vs. commodity stocks

Another Use of LSPM in Tactical Portfolio Allocation

April 29, 2011
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Another Use of LSPM in Tactical Portfolio Allocation

After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM s...

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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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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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Job Search Part 4: Timing Beveridge Curve Movements During A Recession

April 25, 2011
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Job Search Part 4: Timing Beveridge Curve Movements During A Recession

This economics blogger feels like he would be cheating the reader if he did not include recent work done by Barnichon and Figura (2010) on timing movements in the unemployment rate during recessions. That is why this is part 4 of my special 5 part mini...

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Measuring association using odds ratios

Measuring association using odds ratios

In my last two posts, I have used the UCI mushroom dataset to illustrate two things.  The first was the use of interestingness measures to characterize categorical variables, and the second was the use of binary confidence intervals...

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