I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for 
After a four month simmer on various back burners and package conflicts, I’m pleased to announce that the successor to …
New Events Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading...
An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously “The basics of Value at Risk and Expected Shortfall” provides an introduction to the subject. Starting ingredients Value at Risk (VaR) and Expected Shortfall (ES) are always about a portfolio. There are two basic ingredients that … Continue reading...
In the previous post, I demonstrated simple backtests for trading a number of assets ranked based on their 3, 6, 9, or 12 (i.e lookback periods) month simple returns. While it was not an exhaustive backtest, the results showed that when trading the top 8 ranked assets, the ranking based 3, 6, 9, and 12 … Continue reading...
An old irony in New York is the ubiquity of the ‘gourmet deli’. It is hard to find a deli …
This entry is part 7 of 11 in the series Using RIn two previous posts we described how R can call C code with .C() and the more complex yet more robust option of calling C code with .Call(). Here … read more ...
Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading...
In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →
Eventually this will be a blog about a reformed physicist's forays into data analysis in the world of finance. I'll be using R, Python, d3 and anything else I can get my hands on to serve up some tasty nuggets of data!
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
