729 search results for "finance"

Realized beta and beta equal 1

August 30, 2011
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Realized beta and beta equal 1

What does beta look like in the out-of-sample period for the portfolios generated to have beta equal to 1? In the comments Ian Priest wonders if the results in “The effect of beta equal 1″ are due to a shift in beta from the estimation period to the out-of-sample period.  (The current post will make … Continue reading...

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The effect of beta equal 1

August 29, 2011
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The effect of beta equal 1

Investment Performance Guy had a post about beta equal 1.  It made me wonder about the properties of portfolios with beta equal 1.  When I looked, I got a bigger answer than I expected. Data I have some S&P 500 data lying about from the post ‘On “Stock correlation has been rising”‘.  So laziness dictated … Continue reading...

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25+ more ways to bring data into R

August 26, 2011
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25+ more ways to bring data into R

The rdatamarket post on the Revolutions blog and this post on Decision Stats reminded me about my list of Data APIs/feeds available as packages in R on Cross-Validated (which is a great site that you all should use).  Many of these packa...

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Things I learned at useR!2011

August 25, 2011
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Things I learned at useR!2011

The title says “things” but conferences are mainly about people. Some of it can be serendipitous.  For example, one day I sat next to Jonathan Rougier at lunch because I had a question for him about climate models.  When Jonathan left, I started a conversation with the person on my other side.  That was most … Continue reading...

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Graphically analyzing variable interactions in R

August 23, 2011
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Graphically analyzing variable interactions in R

I studied Ecology as an undergraduate, which meant I spent a lot of time gathering and analyzing field data. One of the basic tools we used to look for relationships in a large set of variables was correlation and scatterplot matrices. Each of these ...

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A view of useR!2011

August 22, 2011
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A view of useR!2011

Start Brian Ripley The conference was opened with a talk by Brian Ripley.  I’ll distort his talk into 3 points that came across to me. 1. R Core is finite The time available from R Core members is a strictly limited good.  The more that is pushed onto R Core, the less attention to details.  … Continue reading...

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Statistical construction error

August 20, 2011
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Statistical construction error

Yes, the title is meant to have two readings. The effect The Numbers Guy, among other examples, talks about the UK Office for National Statistics needing to revise its estimate for the construction sector output because of an error. Original: 2.3% growth Corrected: 0.5% growth Here is the Telegraph article cited by The Numbers Guy. … Continue reading...

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display time series data in R

August 19, 2011
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display time series data in R

Thanks to the Revolutions blog, several things learned here:1. R code for heat calendar2. generate SVG from R3. pretty-R toolOK. Let's explain it by plotting the fund WASCX (IVY ASSET STRATEGY FUND CLASS C) from 2009-03-14:# source code of calendarHeat...

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Teaser: Running R as a map/reduce job from Riak

August 17, 2011
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Teaser: Running R as a map/reduce job from Riak

Alliterations aside, here is a preview of something I’ve been tinkering with. My goal is to be able to run …Continue reading »

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ttrTests Experimentation

August 16, 2011
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ttrTests Experimentation

I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6.  ttrTests offers a nice start ...

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