46 search results for "ecdf"

Escaping the simplex, part 1

November 22, 2012
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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...

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Kendall’s function for copulas

September 12, 2012
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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...

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ggplot2 0.9.2 has been released!

September 7, 2012
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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

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Universal portfolio, part 10

August 10, 2012
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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 ...

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Universal portfolio, part 9

July 25, 2012
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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...

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Universal portfolio, part 8

July 18, 2012
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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...

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Universal portfolio, part 7

July 7, 2012
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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...

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Download and parse EDHEC hedge fund indexes

June 4, 2012
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Download and parse EDHEC hedge fund indexes

In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be

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RDieHarder 0.1.2

April 13, 2012
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RDieHarder 0.1.2

RDieHarder is an R package providing access to the DieHarder battery of tests for random number generators developed by Robert G. Brown and others. DieHarder had been updated to version 3.1.1 a while back, and I had been a little behind with updating...

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Were markets exceptionally volatile in 2011?

January 2, 2012
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Were markets exceptionally volatile in 2011?

2011 was a volatile year, no doubt about that, but was it exceptionally so from a historic point of view? To quantify the volatility, I used the Dow Jones Industrial average, which goes back to 1928 on Yahoo Finance: A volatile year no doubt, but once again confirming the fact that, in markets behaviour at

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