250 search results for "market research"

The mystery of volatility estimates from daily versus monthly returns

November 8, 2011
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The mystery of volatility estimates from daily versus monthly returns

What drives the estimates apart? Previously A post by Investment Performance Guy prompted “Variability of volatility estimates from daily data”. In my comments to the original post I suggested that using daily data to estimate volatility would be equivalent to using monthly data except with less variability.  Dave, the Investment Performance Guy, proposed the exquisitely … Continue reading...

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Webinar on Portfolio Rebalancing with R and Sybase

November 3, 2011
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R users in the financial industry may be interested in the following webinar hosted by Revolution Analytics' partner Sybase on November 10: Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management With volatility and violent intraday swings becoming the new normal, intraday risk controls are now needed to not only reduce your exposures across multiple asset classes,...

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Modern Portfolio Optimization Theory: The idea

November 3, 2011
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Modern Portfolio Optimization Theory: The idea

We were recently given a lecture (by Dr. Susan Thomas) on Harry Markowitz portfolio optimization theory, and I was really fascinating with the noble laureate's story of how he found it difficult to convince his guide about the importance of h...

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R versus SAS/SPSS in corporations

October 28, 2011
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R versus SAS/SPSS in corporations

A recent question on one of the LinkedIn groups about the advantages of using R over commercial tools like SAS or IBM SPSS Modeller drew lots of comments for R. We like R a lot and we use it extensively, but I also wanted to balance the discussion. R is great, but looking at commercial organizations near...

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R versus SAS/SPSS in corporations

October 28, 2011
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R versus SAS/SPSS in corporations

A recent question on one of the LinkedIn groups about the advantages of using R over commercial tools like SAS or IBM SPSS Modeller drew lots of comments for R. We like R a lot and we use it...

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Two seasonal investors – R snippet

October 24, 2011
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Two seasonal investors – R snippet

In “A tale of 2 Seasonal Investors“, the Big Picture discusses the simple idea of comparing two simple investment approaches: being exposed to the market 6 months every year (from November to April), as opposed to investing in the other 6 months of every year (from May to October). Going back 50 years in the

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Principal component analysis : Use extended to Financial economics : Part 2

October 22, 2011
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My previous post talked about how we can employ PCA on the data for multiple stock returns to reduce the number of variables in explaining the variance of the underlying data. But the idea was greeted with skepticism by many. A caveat to the applicatio...

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Revolution Newsletter: October 2011

October 17, 2011
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The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full October edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Applications of R Contest: Deadline October 31. Revolution Analytics is offering $20,000 in prizes...

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Principal component analysis : Use extended to Financial economics : Part 1

October 15, 2011
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Principal component analysis : Use extended to Financial economics : Part 1

While working for my Financial economics project I came across this elegant tool called Principal component analysis (PCA)which is an extremely powerful tool when it comes to reducing the dimentionality of a data set comprising of highly correlated var...

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Where to find data to use with R

October 11, 2011
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(Contributing blogger Joe Rickert has put together a fantastic list of data sources suitable for use with R. If you're looking for data to use in the Applications of R Contest -- entries close October 31 -- this is a great resource for you -- Ed.) Hardly a day goes by without someone or something reminding me that we...

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