298 search results for "market research"

Gold price and fear

January 18, 2012
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Gold price and fear

Via @theEconomist, I understood that there might be connections between the price of Gold (which is said to be extremely high nowadays) and the VIX SP500 index (the option volatility index, i.e. the so-called "fear index", as discussed - in French-...

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Time Series Matching

January 13, 2012
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Time Series Matching

THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only. If it looks like a duck, swims like a duck, and quacks like a duck, then it probably is a duck. Do you want to know what S&P 500 will do in the next week, month, quarter? One way to make an

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Revisiting basic macroeconomics : Illustrations with R

January 5, 2012
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Revisiting basic macroeconomics : Illustrations with R

PrologueAfter 3 semesters of studying economics at IGIDR, the basics of macroeconomics still elude me. What policy shifts what curve? What determines the slope of IS-LM and AD-AS curves? What exactly was Keynes contribution to Economics? How do all the...

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Monetary Policy & Credit Easing pt. 7: R Econometrics Tests

January 1, 2012
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In post 6 we introduced some econometrics code that will help those working with time-series to gain asymptoticly efficient results.  In this post we look at the different commands and libraries necessary for testing our assumptions and such. Testing our Assumptions and Meeting the Gauss-Markov TheoremIn this section we will seek to test and verify the assumptions of the simple linear...

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December 2011 issue of the R Journal: An overview

December 20, 2011
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December 2011 issue of the R Journal: An overview

The December 2011 issue of the R Journal is now available for download. Three times a year, the open-access journal of the R project publishes peer-reviewed articles on research and applications of R and R packages. As of the latest issue, all articles are published under a Creative Commons license, making them accessible for translation, academic and commercial uses...

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Judging panel for Applications of R in Business contest

December 6, 2011
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Now that the final submissions are in for the Applications of R in Business contest, it's time to announce the judging panel who will select the winners for $20,000 in cash prizes from Revolution Analytics. They are: Edd Dumbill, technologist and writer for O'Reilly Media David Menninger, VP & Research Director at Ventana Research Steve Miller, technology writer and...

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Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios

November 11, 2011
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Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios

Small changes in the input assumptions often lead to very different efficient portfolios constructed with mean-variance optimization. I will discuss Resampling and Covariance Shrinkage Estimator – two common techniques to make portfolios in the mean-variance efficient frontier more diversified and immune to small changes in the input assumptions. Resampling was introduced by Michaud in Efficient

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In case you missed it: October Roundup

November 10, 2011
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In case you missed them, here are some articles from October of particular interest to R users. The creator of the ggplot2 package, Hadley Wickham, shares details on some forthcoming big-data graphics functions (based on research sponsored by Revolution Analytics). A list of several dozen free data sources that can easily be imported into R. Bob Muenchen gave a...

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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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