733 search results for "finance"

In case you missed it: January Roundup

February 13, 2012
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In case you missed them, here are some articles from January of particular interest to R users. Sponsorships from Revolution Analytics are now available for local R user groups in 2012. The winners of the Applications of R in Business Contest have been announced. The coefplot package visualizes model coefficients and standard errors in a line chart. Revolution Analytics...

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R for Quants, Part I.A

February 12, 2012
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R for Quants, Part I.A

I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …Continue reading »

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Simplified Example of Systematic Investor’s Fine Work

February 10, 2012
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Simplified Example of Systematic Investor’s Fine Work

THIS IS ONLY AN EXAMPLE AND IS NOT INVESTMENT ADVICE. ACTING ON THIS WILL LOSE LOTS OF MONEY. Systematic Investor Blog (be sure to check out the site) offers extremely good examples of how to use R in finance.  Since I firmly believe more examples...

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GARCH estimation using maximum likelihood

February 9, 2012
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In my previous post I presented my findings from my finance project under the guidance of Dr Susan Thomas. The results in my paper suggested that there are macroeconomic variables, particularly the INR/USD exchange rates, that help us understand the dynamics of stock returns. Although the results that I obtained were significant at 5%...

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What’s new in futile.matrix 1.1.2

February 7, 2012
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What’s new in futile.matrix 1.1.2

This is an exciting release of futile.matrix, which in some ways the package grows up and finds its purpose. It …Continue reading »

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The US market will absolutely positively definitely go up in 2012

February 6, 2012
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The US market will absolutely positively definitely go up in 2012

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 birth … Continue reading...

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Updated Sentiment Analysis and a Word Cloud for Netflix – The R Way!

January 30, 2012
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Updated Sentiment Analysis and a Word Cloud for Netflix – The R Way!

The Netflix investors must be happy and cheerful as the stock is up more than 78% since the beginning of the year (YES, 78%, Source: Yahoo Finance!).  I am not going to talk about what turned the stock around after a much talked/hyp...

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Multiple Factor Model – Fundamental Data

January 28, 2012
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Multiple Factor Model – Fundamental Data

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 11,

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Random matrix theory and APT’s daily global model

January 25, 2012
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Random matrix theory and APT’s daily global model

Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …Continue reading »

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It is "simply" the average value

January 24, 2012
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It is "simply" the average value

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 ...

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