748 search results for "finance"

Alpha decay in portfolios

November 30, 2011
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Alpha decay in portfolios

How does the effect of our expected returns change over time?  This is not academic  curiosity, we want to know in the context of our portfolio if we can.  And we can — we visualize the effect of expected returns in situ. First step The idea is to look at the returns of portfolios that … Continue reading...

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Course: Financial Data Modeling and Analysis in R

November 28, 2011
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The University of Washington is holding a web-based course which will be of interest to anyone who wants to learn about financial modeling with R: Financial Data Modeling and Analysis in R (AMATH 542) is a comprehensive introduction to the R statistical programming language for computational finance offered by the University of Washington Computational Finance program and taught by...

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Dealing with Non-Positive Definite Matrices in R

November 27, 2011
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Last time we looked at the Matrix package and dug a little into the chol(), Cholesky Decomposition, function.  I noted that often in finance we do not have a positive definite (PD) matrix.  The chol() function in both the Base and Matrix...

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ConPA uses cloudnumbers.com as calculation backend

November 25, 2011
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ConPA uses cloudnumbers.com as calculation backend

ConPA is an asset allocation application using the classic Markowitz approach. For the calculations the open-source statistical programming language R is used. R scripts are executed on cloudnumbers.com’s computer clusters in the Cloud and the results are displayed by ConPA frontend. ConPA allows to set the investment date of the portfolio, the target return and

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Introduction to Backtesting library in the Systematic Investor Toolbox

November 24, 2011
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Introduction to Backtesting library in the Systematic Investor Toolbox

I wrote a simple Backtesting library to evaluate and analyze Trading Strategies. I will use this library to present the performance of trading strategies that I will study in the next series of posts. It is very easy to write a simple Backtesting routine in R, for example: The code I implemented in the Systematic

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Matrix Package Doodling

November 24, 2011
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Matrix Package Doodling

Trying not to fall into Thanksgiving Day, football, coma.  So I started looking at the Matrix package.Started out by changing my code from before to create a matrix using the Matrix() function from the Matrix package.n = 4000c = Matrix(.9,n,n)for(...

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Matrix Package Doodling

November 24, 2011
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Trying not to fall into Thanksgiving Day, football, coma.  So I started looking at the Matrix package.Started out by changing my code from before to create a matrix using the Matrix() function from the Matrix package.n = 4000c = Matrix(.9,n,n)for(...

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Asynchrony in market data

November 21, 2011
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Asynchrony in market data

Be careful if you have global daily data. The issue Markets around the world are open at different times.  November 21 for the Tokyo stock market is different from November 21 for the London stock market.  The New York stock market has yet a different November 21. The effect The major effect is that correlations … Continue reading...

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Let the Lagging Lead

November 18, 2011
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Let the Lagging Lead

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...

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htmlToText(): Extracting Text from HTML via XPath

November 18, 2011
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htmlToText(): Extracting Text from HTML via XPath

Converting HTML to plain text usually involves stripping out the HTML tags whilst preserving the most basic of formatting. I wrote a function to do this which works as follows (code can be found on github): The above uses an XPath approach to achieve it’s goal. Another approach would be to use a regular expression. These

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