723 search results for "finance"

Modelling returns using PCA : Evidence from Indian equity market

December 26, 2011
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As my finance term paper, I investigated an interesting question where I tried to identify macroeconomic variables that explain the returns on equities. Much of the debate has already taken place on this topic which has given rise to two competing theo...

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Portfolio Optimization in R, Part 4

December 23, 2011
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Portfolio Optimization in R, Part 4

This post will conclude the portfolio optimization series.  In this post, we will construct a trading strategy based on portfolio optimization and test the results against the CAPM market portfolio as well as another strategy.It is worth reiterati...

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Pairs Trading Issues

December 20, 2011
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Pairs Trading Issues

(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers) A few words for those of you who are not familiar with the “pairs trading” concept. First you should understand that the movement of every stock is dominated not by the companies performance but by the general market movement. This is the origin of...

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The Bay Area R User Group Meeting on Data Mining with R

December 16, 2011
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By Joseph Rickert Put up a poster that says something like “Data Mining with R” anywhere in the Bay Area and you will surely draw a crowd. But it was still a bit of a surprise that the monthly meeting of the Bay Area R User’s group was so well attended. At one point there were 160 people on...

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Backtesting Rebalancing methods

December 15, 2011
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Backtesting Rebalancing methods

I wrote about Rebalancing in the Asset Allocation Process Summary post. Deciding how and when to rebalance (update the portfolio to the target mix) is one of the critical steps in the Asset Allocation Process. I want to study the portfolio performance and turnover for the following Rebalancing methods: Periodic Rebalancing: rebalance to the target

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With Size, Does Risk–>Return?

December 15, 2011
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With Size, Does Risk–>Return?

A basic tenet in finance is that higher risk should lead to higher return as the time horizon stretches to infinity.  However, in bonds, higher risk has not meant higher return with either credit risk (high-yield) or long duration risk (maturity &...

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Backtesting Minimum Variance portfolios

December 12, 2011
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Backtesting Minimum Variance portfolios

I want to show how to combine various risk measures I discussed while writing the series of posts about Asset Allocation with backtesting library in the Systematic Investor Toolbox. I will use Minimum Variance portfolio as an example for this post. I recommend reading a good discussion about Minimum Variance portfolios at Minimum Variance Sector

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UseR! 2011 slides and videos – on one page

December 11, 2011
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Links to slides and talks from useR 2011 - all organized in one page.Read more »

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LondonR recap

December 10, 2011
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LondonR recap

The biggest and perhaps best meeting yet. The talks James Long: “Easy Parallel Stochastic Simulations using Amazon’s EC2 & Segue”.  This was a lively talk about James’ package to use Amazon’s cloud to speed up a (huge) call to lapply.  The good part is that if you want to use Amazon as your cloud provider, … Continue reading...

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Improved Moving Average using intra-day EUR/USD FOREX

December 9, 2011
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Improved Moving Average using intra-day EUR/USD FOREX

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Improved Moving Average using intra-day EUR/USD FOREX(Fotis, Reason for Edit: Sample Dates Added) Hi everyone, Here we present the graphical illustrations from two cases that our improved moving average method provides better results compared to the rest. You can find the R-code...

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