I like the results of the analysis shown in my post Applying Tradeblotter’s Nice Work Across Manager Rather than Time, but I was not satisfied that the plot allowed a quick summary comparison of the two massive fund complexes. I am much more pl...
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Visually Comparing Return Distributions
Here is a spot of code to create a series of small multiples for comparing return distributions. You may have spotted this in a presentation I posted about earlier, but I’ve been using it here and there and am finally satisfied that it is a generally useful view, so I functionalized it. When visually comparing 
2012 Summary and 2013 Plans
2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16% (including dividends) – a tough to beat benchmark. The strategy I use on the SPY, for which I
Escaping the simplex, part 1
Before tackling the main subject, two quick notes:I did not post for quite a while in part because I followed the Coursera online course Introduction to Computational Finance and Financial Econometrics. It was a nice refresher, extremely well pre...
Kendall’s function for copulas
As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution , define random variable . Then Kendall's cumulative function is Genest and Rivest (1993) intr...
ggplot2 0.9.2 has been released!
The main changes in this version are to the theming system. There are also a number of enhancements to the theming system that make it easier to modify themes and we’ve renamed a number of functions to have more informative names. Your existing code should continue to work, although you may receive warnings about functions 
Universal portfolio, part 10
Part 9 compared the wealth of Universal against other portfolio selection algorithms by using the experimental cumulative distribution function of the relative wealth. This leads to a very compact representation, but it completely hides the ...
Universal portfolio, part 9
Part 8 was discussing the distribution of the absolute wealth of the Universal Portfolio across all possible tuples of length 2, 3 and 4.However, comparing the absolute wealth against some reference, especially against simple portfolio selection algor...
Universal portfolio, part 8
We extend the analysis of part 7 by calculating the final wealth for all tuples of 3 and 4 stocks, this is a simple extension but it also shows the most important problem of the Universal portfolio algorithm, its exponential complexity in the number of...
Universal portfolio, part 7
After reproducing all original figures and tables from Universal Portfolios, R coupled with modern processors allows to perform some more analysis.First we calculate the final wealth of the universal portfolio for all possible pairs of stocks, and...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
