682 search results for "finance"

Necessity to Explain CDS with A Regime Switching Model

Necessity to Explain CDS with A Regime Switching Model

Examining the determinants of credit default swap (CDS) spreads is a hot topic, CDS spread has displayed siginificant regime switching behaviour since the break of credit crisis, which can be seen from the old graph in the post Credit Default Spread a...

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Importing google news data to R

July 6, 2011
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Importing google news data to R

I've been playing around lately with the stock market data available from google finance, through quantmod in R. Here's a function I've written (which depends on the R Data Science Toolkit), to pull news stories related to a stock from google, parse t...

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Artificial intelligence in trading: k-means clustering

July 6, 2011
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Artificial intelligence in trading: k-means clustering

There is many flavors of artificial intelligence (AI), however I want to show practical example of the cluster analysis. It is very applicable in finance. For example, one of stylized facts of volatility is, that it moves in clusters, meaning that today’s volatility will be more likely as yesterday’s volatility. To gauge these moves you

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Google Correlate Certainly Does Not Imply Causation

July 6, 2011
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Google Correlate Certainly Does Not Imply Causation

I recently heard about a new tool called Google Correlate that helps one finds Google search patterns that correspond to (i.e. correlate with) real-world trends.For those that don't get it yet, the tool allows one to type in a search term and the tool ...

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New R User Group in Argentina

July 5, 2011
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A new local R user group has formed in Buenos Aires, Argentina, under the succinct name ".aR". They're currently putting together the agenda for their first meeting, and are looking for speakers with expertise in the BioConductor project and Finance. If you'd like to join the group, check out the Spanish-language website for .aR, or follow @ar_usergroup on Twitter....

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B*tchin’ six dimensional 6-cube. The rainbow colours and…

July 1, 2011
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B*tchin’ six dimensional 6-cube. The rainbow colours and…

B*tchin’ six dimensional 6-cube. The rainbow colours and glass panes really help this visualisation.  Examples of 6-dimensional things If it’s hard to envision 6 dimensions, consider this: the possible tunings of a guitar constitute a 6-dimensio...

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B*tchin’ six dimensional 6-cube. The rainbow colours and…

July 1, 2011
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B*tchin’ six dimensional 6-cube. The rainbow colours and…

B*tchin’ six dimensional 6-cube. The rainbow colours and glass panes really help this visualisation.  Examples of 6-dimensional things If it’s hard to envision 6 dimensions, consider this: the possible tunings of a guitar constitute a 6-dimensio...

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Beating Kenneth French Small – High

June 30, 2011
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Beating Kenneth French Small – High

With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts.  I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...

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Cash Might be Your Tail Risk

June 30, 2011
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Cash Might be Your Tail Risk

Just like James Montier Ode to the Joy of Cash and David Merkel Got Cash?, I think cash is an extremely powerful tool.  Of the 3 ingredients (land, labor, and capital) of the economy, capital (cash) is most scarce at the end of a crisis or recessi...

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Winsorization

June 30, 2011
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Winsorization

Winsorization replaces extreme data values with less extreme values. But why Extreme values sometimes have a big effect on statistical operations.  That effect is not necessarily a good effect.  One approach to the problem is to change the statistical operation — this is the field of robust statistics. An alternative solution is to just change … Continue reading...

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