The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for the year. If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, beat the Patriots. The...
The Multiple Factor Model can be used to decompose returns and calculate risk. Following are some examples of the Multiple Factor Models: The expected returns factor model: Commonality In The Determinants Of Expected Stock Returns by R. Haugen, N. Baker (1996) The expected returns factor model: CSFB Quantitative Research, Alpha Factor Framework on page...
for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned "Take any stock in the United ...
Following on from the previous post here is an R function for visualising correlations between the explanatory variables in your data set. An interesting example is the North Carolina Crime data set that comes with the plm package. This has the following continuous variables: crmrte crimes committed per person prbarr probability of arrest prbarr...
I was searching for open data recently, and stumbled on Socrata. Socrata has a lot of interesting data sets, and while I was browsing around, I found a data set on federal bailout recipients. Here is the data set. However, data sets on Socrata are no...
A not unusual part of a response on the R-sig-finance mailing list is: “Search the list archives.” In principle that makes sense. In practice it might not be clear what to do. Now it should be. The list The R-sig-finance mailing list deals with the intersection of questions about the R language and finance. ...
This is a quick post to address comments raised in the Time Series Matching post. I will show a very simple example of backtesting a Time Series Matching strategy using a distance weighted prediction. I have to warn you, the strategy’s performance is worse then the Buy and Hold. I used the code from...
Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading R-Code Yahoo Finance Data Loading
Here is an R script that downloads Yahoo Finance Data without the need of additional packages/libraries. Particularly, this makes the downloading even faster. In the .zip file is the code with an example...
Google offers an access to its services with Apps Scripts (JavaScript). That gives you a possibility to connect your spreadsheet to a fascinating variety of tools like geocoder, stock info, language translator, or email.My java-scri...
Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the course materials are available...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).