262 search results for "pca"

Ruin probability and infinite time

March 27, 2012
By
Ruin probability and infinite time

A couple of weeks ago, I had a discussion with a practitioner, working in some financial company, about ruin, and infinite time. And it remind me a weird result. Well, not a weird result, but a result I found disturbing, at first, when I was a stud...

Read more »

Julia functions for the Rmath library

March 26, 2012
By

1.1 Signatures of the d-p-q-r functions in libRmath Users of R are familiar with the functions for evaluating properties of and for sampling from probability distributions, the so-called d-p-q-r functions. The designation d-p-q-r reflects the fact t...

Read more »

Visualization in regression analysis

February 23, 2012
By
Visualization in regression analysis

Visualization is a key to success in regression analysis. This is one of the (many) reasons I am also suspicious when I read an article with a quantitative (econometric) analysis without any graph. Consider for instance the following dataset, obtai...

Read more »

Maps with R (III)

February 23, 2012
By
Maps with R (III)

In my previous posts (1 and 2) I wrote about maps with complex legends but without any kind of interactivity. …Continuar leyendo »

Read more »

Visualization in regression analysis

February 23, 2012
By
Visualization in regression analysis

Visualization is a key to success in regression analysis. This is one of the (many) reasons I am also suspicious when I read an article with a quantitative (econometric) analysis without any graph. Consider for instance the following dataset, obtained from http://data.worldbank.org/, with, for each country, the GDP per capita (in some common currency) and the infant mortality rate...

Read more »

GARCH estimation using maximum likelihood

February 9, 2012
By

In my previous post I presented my findings from my finance project under the guidance of Dr Susan Thomas. The results in my paper suggested that there are macroeconomic variables, particularly the INR/USD exchange rates, that help us understand the dynamics of stock returns. Although the results that I obtained were significant at 5%...

Read more »

Foreign Currencies and US 10y Treasury Yields

January 17, 2012
By
Foreign Currencies and US 10y Treasury Yields

Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...

Read more »

New version of analogue (0.8-0)

January 12, 2012
By
New version of analogue (0.8-0)

Yesterday I pushed an update of my analogue package to CRAN. The new version is 0.8-0 and contains some new functions, several bug fixes and a major change arising from additions to R 2.14.x requiring all packages to have a … Continue reading →

Read more »

New version of analogue (0.8-0)

January 12, 2012
By

Yesterday I pushed an update of my analogue package to CRAN. The new version is 0.8-0 and contains some new functions, several bug fixes and a major change arising from additions to R 2.14.x requiring all packages to have a namespace. analogue now has its own namespace rather than relying on...

Read more »

Installing quantstrat from R-forge and source

January 10, 2012
By
Installing quantstrat from R-forge and source

R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. Custom solutions are almost always the best way to do this, but the quantstrat package The post Installing...

Read more »