901 search results for "finANCE"

The Fallacy of 1/N and Static Weight Allocation

June 18, 2013
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The Fallacy of 1/N and Static Weight Allocation

In the last few years there has been a increasing tendency to ignore the value of a disciplined quantitative approach to the portfolio allocation process in favor of simple and static weighting schemes such as equal weighting or some type of adjusted volatility weighting. The former simply ignores the underlying security dynamics, assuming equal risk-return,

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The scaling of Expected Shortfall

June 16, 2013
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The scaling of Expected Shortfall

Getting Expected Shortfall given the standard deviation or Value at Risk. Previously There have been a few posts about Value at Risk and Expected Shortfall. Properties of the stable distribution were discussed. Scaling One way of thinking of Expected Shortfall is that it is just some number times the standard deviation, or some other number … Continue reading...

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Top 100 R packages for 2013 (Jan-May)!

June 13, 2013
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Top 100 R packages for 2013 (Jan-May)!

(This article was first published on R-statistics blog » RR-statistics blog, and kindly contributed to R-bloggers) What are the top 100 (most downloaded) R packages in 2013? Thanks to the recent release of RStudio of their “0-cloud” CRAN log files (but without including downloads from the primary CRAN mirror or any of the 88 other CRAN mirrors), we can now answer this question...

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Using Quandl in R

June 12, 2013
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Using Quandl in R

Image by Jan Zander Our mantra here at Quandl is making data easy to find and easy to use. Following that goal we (and subsequently the community) have created packages that integrate Quandl’s API into a number of software platforms. Today we’ll take a look at R. R is a free statistical computing language created

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Survey on R and education

June 12, 2013
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Survey on R and education

Main takeaways from the survey on R in education There is a need to train students in R since large majority of respondents (using R professionally) expect its market share to further increase. Large interest from both academics and students in online interactive R and statistics courses. Highest interest in free courses and only small

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In case you missed it: May 2013 Roundup

June 10, 2013
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In case you missed them, here are some articles from May of particular interest to R users: Billions of geotagged Tweets create a beautiful map of the world when plotted with the ggmap package. A review of Ryan Sheftel's talk at R/Finance, on how he uses R on the trading desk at Credit Suisse. Also, a quick take on...

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How old is the oldest person you know?

June 4, 2013
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How old is the oldest person you know?

Last week, we had a discussion with some colleagues about the fact that – in order to prepare for the SOA exams – we did not have time (so far) to mention results on extreme values in our actuarial program. I did gave an introduction in my nonlife actuarial models class, but it was only an introduction, in three...

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Value at Risk and Expected Shortfall, and other upcoming events

June 4, 2013
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Value at Risk and Expected Shortfall, and other upcoming events

Highlighted Value at Risk and Expected Shortfall A two-day course exploring Value at Risk and Expected Shortfall, and their role in risk management. 2013 June 25 & 26, London. Lead by Patrick Burns. Details at the CFP Events site. New Events Thalesians — San Francisco 2013 June 5. Jesse Davis on “Risk Model Imposed Manager-to-Manager … Continue reading...

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Ryan Sheftel: "R on the Trading Desk"

May 30, 2013
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by Joseph Rickert In a post last week, I offered some first impressions about R/Finance 2013. Apparently, I was way off in estimating that 30% of the attendees were academics. The R/Finance organizers were quick to point out that percentage of academics attending the conference has been a constant 10% over the years; and this year was no different....

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Value at Risk with exponential smoothing

May 28, 2013
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Value at Risk with exponential smoothing

More accurate than historical, simpler than garch. Previously We’ve discussed exponential smoothing in “Exponential decay models”. The same portfolios were submitted to the same sort of analysis in “A look at historical Value at Risk”. Issue Markets experience volatility clustering.  As the previous post makes clear, historical VaR suffers dramatically from this.  An alternative is … Continue reading...

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