787 search results for "finance"

Beta is not volatility

March 26, 2012
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Beta is not volatility

The missing link between beta and volatility is correlation. Previously “4 and a half myths about beta in finance” attempted to dislodge several myths about beta, including that beta is about volatility. “Low (and high) volatility strategy effects” showed a plot of beta versus volatility for stocks in the S&P 500 for estimates from 2006.  … Continue reading...

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R in Google Summer of Code 2012

March 23, 2012
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This post is a slightly revised (and "blogified") version of the message Brian Peterson has sent to various R mailing lists.Once again, R has been accepted as a mentoring organization for the Google Summer of Code (2012).  We invite students interested in this program to learn more about it.  A good starting point...

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Low (and high) volatility strategy effects

March 23, 2012
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Low (and high) volatility strategy effects

Does minimum variance act differently from low volatility?  Do either of them act like low beta?  What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing.  Here we look not at a single portfolio of a given strategy over time, but … Continue reading...

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Revolution Newsletter: March 2012

March 19, 2012
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The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full March edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Download Revolution R Enterprise, free for Academics. The new features of Revolution R Enterprise...

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Review of “The Origin of Financial Crises” by George Cooper

March 19, 2012
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Review of “The Origin of Financial Crises” by George Cooper

The subtitle is “Central banks, credit bubbles and the efficient market fallacy”. Executive summary This is much too important of a book to remain as obscure as it is.  Besides, it is quite a fun read. It talks about two subjects: Why markets for goods and services tend toward equilibrium but financial markets do not. … Continue reading...

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Call for chapters: Data Mining Applications with R

March 15, 2012
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Call for chapters: Data Mining Applications with R

Data Mining Applications with R A book to be published by Elsevier http://www.RDataMining.com/books/book2 Proposal Submission Deadline: April 30, 2012 Introduction R is one of the most widely used data mining tools in scientific and business applications, among dozens of commercial … Continue reading →

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Japan Trade by Geographic Region

March 12, 2012
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Japan Trade by Geographic Region

To further the analysis presented in Japanese Trade and the Yen, I thought I would take the more granular data provided by the Japanese Ministry of Finance on trade by geographic region.  Of course, I will use R to read, analyze, and plot the .csv...

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The quality of variance matrix estimation

March 12, 2012
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The quality of variance matrix estimation

A bit of testing of the estimation of the variance matrix for S&P 500 stocks in 2011. Previously There was a plot in “Realized efficient frontiers” showing the realized volatility in 2011 versus a prediction of volatility at the beginning of the year for a set of random portfolios.  A reader commented to me privately … Continue reading...

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"Fear of floating exchange rate" or "fear of losing international reserves".

March 10, 2012
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"Fear of floating exchange rate" or "fear of losing international reserves".

We were recently required to do an assignment for the International Finance course where we had to investigate the policy that the emerging economies adopt towards holding international reserves. A recent research paper at the NBER by Joshua Aizen...

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lembarrasduchoix asked: thank you for the introduction to…

March 6, 2012
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lembarrasduchoix asked:
thank you for the introduction to…

lembarrasduchoix asked: thank you for the introduction to Newcomb’s paradox! Could you do a post on your favorite paradoxes?    The decision theory paradoxes I’m familiar with are: Ellsberg Paradox— Theorists encode bothsituations with unknown...

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