739 search results for "finance"

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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Marketing Mix Lab: Visualising The Correlation Matrix

January 23, 2012
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Marketing Mix Lab: Visualising The Correlation Matrix

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 probability … Continue reading...

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Analyzing Federal Government Bailout Recipients in R

January 19, 2012
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Analyzing Federal Government Bailout Recipients in R

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 not always the most recent versions, so I followed a...

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Analyzing Federal Bailout Recipients in R

January 19, 2012
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Analyzing Federal Bailout Recipients in R

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 not always the most recent versions, so I followed a link to...

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Time Series Matching strategy backtest

January 17, 2012
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Time Series Matching strategy backtest

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 Time

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