499 search results for "Trading"

Volume by Price Charts using R

November 23, 2011
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Volume by Price Charts using R

R-Bloggers is a wonderful site which offers some great ideas for analysis.While I have been busy of late, hence could not do much with R, I was inspired by this post by Eric Nguyen on Volume by Price chart. This chart can be used with a great effe...

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Popular Baby Names Walk-Through Part 2 – Graphing the fast movers

November 21, 2011
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Popular Baby Names Walk-Through Part 2 – Graphing the fast movers

I will assume you have read through part 1 and have the csv file loaded. While we covered some basic graphing in the last post i hope to get into a little more of the data crunching. Specifically I am interested in the names which where driven by a spe...

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A Simple R Script for Traders

November 21, 2011
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A Simple R Script for Traders

Now that we've got the Python implementation under out belts, let's do the same thing with R. We'll still be able to pass command-line arguments to get a quick look at what our stock of interest is doing during the day. And we start with the familiar i...

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Update on Scary Derivatives

November 16, 2011
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Update on Scary Derivatives

After reading Bloomberg’s article, JPMorgan Chase & Co. and Goldman Sachs Group Inc., among the world’s biggest traders of credit derivatives, disclosed to shareholders that they have sold protection on more than $5 trillion of debt globally. ...

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Performance measurement is about decisions

November 16, 2011
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Performance measurement is about decisions

The return of a hypothetical fund was 17.9% in 2010.  We want to know if that is good or bad. The benchmark method The assets in the portfolio are constituents of the S&P 500, so we can compare our fund return to the return of the index. Figure 1: 2010 returns of: the fund and … Continue reading...

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Black-Litterman Model

November 15, 2011
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Black-Litterman Model

The Black-Litterman Model was created by Fisher Black and Robert Litterman in 1992 to resolve shortcomings of traditional Markovitz mean-variance asset allocation model. It addresses following two items: Lack of diversification of portfolios on the mean-variance efficient frontier. Instability of portfolios on the mean-variance efficient frontier: small changes in the input assumptions often lead to

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The mystery of volatility estimates from daily versus monthly returns

November 8, 2011
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The mystery of volatility estimates from daily versus monthly returns

What drives the estimates apart? Previously A post by Investment Performance Guy prompted “Variability of volatility estimates from daily data”. In my comments to the original post I suggested that using daily data to estimate volatility would be equivalent to using monthly data except with less variability.  Dave, the Investment Performance Guy, proposed the exquisitely … Continue reading...

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Covered Call ETF Performance

October 31, 2011
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Covered Call ETF Performance

Covered call ETFs have become quite popular lately. Living in Canada, I have been holding a couple Canadian members of this family for the last few months. When I purchased them, I liked the benefits and since I wasn’t expecting any bull markets on the horizon, I bought some. These were new products back them,

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Risk parity

October 31, 2011
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Risk parity

Some thoughts and resources regarding a popular fund management buzzword. The idea Given asset categories (like stocks, bonds and commodities) create a portfolio where each category contributes equally to the portfolio variance. Two operations There are two cases in creating a risk parity portfolio: the universe is the asset categories the universe is the assets … Continue reading...

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Predictability of stock returns : Using acf()

October 27, 2011
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Predictability of stock returns : Using acf()

In my previous post, I employed a rather crude and non-parametric approach to see if I could predict the direction of stock returns using the function runs.test(). Lets go a step further and try modelling this with a parametric econometric approach. The company that I choose for the study is INFOSYS (NSE code INFY). Lets start...

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