# 60 search results for "ecdf"

## Visually Comparing Return Distributions

January 18, 2013
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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

January 6, 2013
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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

November 22, 2012
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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

September 12, 2012
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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!

September 7, 2012
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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

August 10, 2012
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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

July 25, 2012
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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

July 18, 2012
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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

July 7, 2012
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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...

June 4, 2012
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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