# 901 search results for "Finance"

## Random matrix theory and APT’s daily global model

January 25, 2012
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Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …Continue reading »

## It is "simply" the average value

January 24, 2012
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for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned "Take any stock in the United ...

## Marketing Mix Lab: Visualising The Correlation Matrix

January 23, 2012
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Following on from the previous post here is an R function for visualising correlations between the explanatory variables in your data set. An interesting example is the North Carolina Crime data set that comes with the plm package. This has the following continuous variables: crmrte crimes committed per person prbarr probability of arrest prbarr probability … Continue reading...

## Analyzing Federal Government Bailout Recipients in R

January 19, 2012
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I was searching for open data recently, and stumbled on Socrata. Socrata has a lot of interesting data sets, and while I was browsing around, I found a data set on federal bailout recipients. Here is the data set. However, data sets on Socrata are not always the most recent versions, so I followed a...

## Analyzing Federal Bailout Recipients in R

January 19, 2012
By

I was searching for open data recently, and stumbled on Socrata. Socrata has a lot of interesting data sets, and while I was browsing around, I found a data set on federal bailout recipients. Here is the data set. However, data sets on Socrata are not always the most recent versions, so I followed a link to...

## Time Series Matching strategy backtest

January 17, 2012
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This is a quick post to address comments raised in the Time Series Matching post. I will show a very simple example of backtesting a Time Series Matching strategy using a distance weighted prediction. I have to warn you, the strategy’s performance is worse then the Buy and Hold. I used the code from Time

## Toying with Google Apps Script

January 11, 2012
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Google offers an access to its services with Apps Scripts (JavaScript). That gives you a possibility to connect your spreadsheet to a fascinating variety of tools like geocoder, stock info, language translator, or email.My java-scri...

## Sensitivity of risk parity to variance differences

January 9, 2012
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Equal risk contribution of assets determines the asset weights given the variance matrix.  How sensitive are those weights to the variance estimate? Previously The post “Risk parity” gave an overview of the idea. In particular it distinguished the cases: the assets have equal risk contribution groups of assets have equal risk contribution A key difference … Continue reading...

## The top 7 portfolio optimization problems

January 5, 2012
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Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is indeed a problem. Spreadsheets are dangerous when given a complex task.  Portfolio optimization qualifies as complex in this context (complex in data requirements). If you are … Continue reading...

## Were markets exceptionally volatile in 2011?

January 2, 2012
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2011 was a volatile year, no doubt about that, but was it exceptionally so from a historic point of view? To quantify the volatility, I used the Dow Jones Industrial average, which goes back to 1928 on Yahoo Finance: A volatile year no doubt, but once again confirming the fact that, in markets behaviour at

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