861 search results for "finance"

Predicted correlations and portfolio optimization

March 5, 2013
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Predicted correlations and portfolio optimization

What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike during a crisis which is when you most want optimization to work. This post looks at a small piece of that question.  It wonders if increasing predicted … Continue reading...

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All That Glitters

March 3, 2013
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All That Glitters

"The law itself follows Gold" Sextus Propertius.But what about stocks, bonds and real estate? Do they follow Gold too? Using the correlation data from my previous post, The Financial Crisis on Tape Part I, this question is easy to investigate. Indeed, ...

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Measuring the Intensity of Historical Crises with VaR

March 3, 2013
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Measuring the Intensity of Historical Crises with VaR

Adam Duncan, December 2012Also avilable on R-bloggers.com Prelude These posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written in a “walkthrough” style. All of the source...

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Portfolio tests of predicted returns

February 25, 2013
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Portfolio tests of predicted returns

Exploring the quality of predictions using random portfolios and optimization. Previously “Simple tests of predicted returns” showed a few ways to look at expected returns at the asset level.  Here we move to the portfolio level. The previous post focused on correlation.  Win Vector Blog points out that gauging prediction quality using correlation can be … Continue reading...

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The Financial Crisis on Tape Part I

February 23, 2013
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The Financial Crisis on Tape Part I

Hello and welcome to Joe's Data Diner's first ever post!Today, I will touch on both R and Finance, but I'll try and make it accesible for those with an interest in either and not just Quants like myself!Almost everyone is now aware that asset correlati...

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Registration for ‘R in Insurance’ conference has opened

February 19, 2013
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Registration for ‘R in Insurance’ conference has opened

The registration for the first conference on R in Insurance on Monday 15 July 2013 at Cass Business School in London has opened. The intended audience of the conference includes both academics and practitioners who are active or interested in the applications of R in insurance. The 2013 R in Insurance conference builds...

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In case you missed it: January 2103 Roundup

February 13, 2013
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In case you missed them, here are some articles from January of particular interest to R users. Anthony Damico created an amusing and useful flowchart for finding resources for learning R, especially for survey analysis. All R users: please be counted for the 2013 Rexer Data Miner Survey (R was the #1 software reported in the last survey). Relatedly,...

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Variability of predicted portfolio volatility

February 11, 2013
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Variability of predicted portfolio volatility

A prediction of a portfolio’s volatility is an estimate — how variable is that estimate? Data The universe is 453 large cap US stocks. The variance matrices are estimated with the daily returns in 2012. Variance estimation was done with Ledoit-Wolf shrinkage (shrinking towards equal correlation). Two sets of random portfolios were created.  In both … Continue reading...

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Crash course on R for financial and actuarial econometrics

February 8, 2013
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Crash course on R for financial and actuarial econometrics

Next Friday, I will give in Montréal a crash course entitled Econometric Modeling in Finance and Insurance with the R Language. Since IFM2 wanted this course to be an opportunity to discover R, the first part o fthe course will be on the R language. Slides can be downloaded from here. (since the course is still scheduled, all comments...

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Disruptive Data Science – Transforming Your Company into a Data Science-Driven Enterprise

January 29, 2013
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Disruptive Data Science – Transforming Your Company into a Data Science-Driven Enterprise

Big Data is the latest technology wave impacting C-Level executives across all areas of business, but amid the hype, there remains confusion about what it all means. The name emphasizes the exponential growth of data volumes worldwide (collectively, 5 Exabytes/ day in the latest estimate I saw from IDC), but more nuanced definitions of Big Data incorporate the following...

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