265 search results for "market research"

Skew of Bonds

May 15, 2012
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Skew of Bonds

As the researchpuzzler highlights in “a bad bet”, US bonds were a popular subject at the CFA Institute Annual Conference.  While US Bonds have been in an amazing 30 year run (see previous posts Lattice Explore Bonds, Bond Market as a Casino Ga...

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In case you missed it: April 2012 Roundup

May 10, 2012
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In case you missed them, here are some articles from April of particular interest to R users. Information Age published a feature article on R, describing how new graduates are driving adoption of R in industry. Bob Muenchen has updated his list of R package equivalents to SAS and SPSS procedures. A history of Data Science, including Bill Cleveland's...

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Discovering power laws and removing “shit”

May 10, 2012
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Discovering power laws and removing “shit”

Imagine you perform a statistical analysis on a time series of stock market data. After some transformation, averaging, and “renormalization” you find that the resulting quantity, let’s call it , behaves as a function of time like . Since you are a physicist you get excited because you have just discovered a power law. Physicists

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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

May 10, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

In part 2, we saw that adding a volatility filter to a single instrument test did little to improve performance or risk adjusted returns. How will the volatility filter impact a multiple instrument portfolio? In part 3 of the follow up, I will evaluate the impact of the volatility filter on a multiple instrument test. … Continue reading...

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2nd round of call for chapter proposals for book Data Mining Applications with R: due by 31 May

May 2, 2012
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2nd round of call for chapter proposals for book Data Mining Applications with R: due by 31 May

2nd CALL FOR CHAPTERS: proposals due by 31 May 2012 Data Mining Applications with R A book to be published by Elsevier http://www.RDataMining.com/books/book2 Introduction —————— R is one of the most widely used data mining tools in scientific and business … Continue reading →

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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

April 30, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the best choice. Although the … Continue reading...

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Most profitable hedge fund style

April 21, 2012
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Most profitable hedge fund style

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading →

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Small Countries Stablize by Exporting High-Tech

April 18, 2012
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Small Countries Stablize by Exporting High-Tech

Smaller countries lead the way. When you think of 'high-tech', which countries come to mind? What is 'High-Tech'? Before continuing, what is meant by the term 'high-tech'? As defined by the World Data Bank, high-technology exports ar...

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Simple Moving Average Strategy with a Volatility Filter

April 18, 2012
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Simple Moving Average Strategy with a Volatility Filter

I would describe my trading approach as systematic long term trend following. A trend following strategy can be difficult mentally to trade after experiencing multiple consecutive losses when a trade reverses due to a volatility spike or the trend reverses. Volatility tends to increase when prices fall. This is not good for a long only … Continue reading...

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Mebane Faber Tactical Asset Allocation in R

April 13, 2012
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In 2006 Mebane Faber published a great piece of research detailing an asset allocation system that was both very easy to understand and implement, as well as carrying very respectable risk adjusted returns.The details are available in his paper&nb...

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