This two-part blog post I published a day ago required key-stats from Yahoo Finance for all the companies in the control group I created for my research. I wanted all the key-stats pulled, arranged in a data-frame and then present them side-...
552 search results for "finance"
A Greedy ARMA/GARCH Model Selection
An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented approach cycles through all models within a the specified ranges for the parameters and chooses the best model based on the
Momentum in R: Part 2
Many of the sites I linked to in the previous post have articles or papers on momentum investing that investigate the typical ranking factors; 3, 6, 9, and 12 month returns. Most (not all) of the articles seek to find which is the “best” look-back period to rank the assets. Say that the outcome of … Continue reading...
CFP: DMApps 2013 – Workshop on Data Mining Applications in Industry and Government, submission due by Jan 6, 2013
CALL FOR PAPERS DMApps 2013: the International Workshop on Data Mining Applications in Industry & Government In conjunction with PAKDD 2013, Gold Coast, Australia, April 14-17, 2013 http://dmapps2013.rdatamining.com The 2013 International Workshop on Data Mining Applications in Industry & Government … Continue reading →
Japanese Government Bond (JGB) Data Since 1974
The Ministry of Finance Japan very generously provides data on JGBs back to 1974. Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):
Life on the Big International Frontier
Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) "Size, Value, and Momentum in International...
Upcoming events
Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading...
RProtoBuf 0.2.6
Release 0.2.6 of RProtoBuf arrived on CRAN earlier this morning. RProtoBuf provides GNU R bindings for the Google Protobuf data encoding library used and released by Google. This release was once more driven largely by Murray whom we have now add...
Weekend Reading – Gold in October
I recently came across the “An early Halloween for gold traders” article by Mark Hulbert. I have discussed this type of seasonality analysis in my presentation at R/Finance this year. It is very easy to run the seasonality analysis using the Systematic Investor Toolbox. This confirms that October have been historically bad for Gold, but 
Two particular courses and other upcoming events
Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
