419 search results for "quantmod"

Spurious Regression illustrated

March 4, 2012
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Spurious Regression illustrated

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading →

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Download and Parse NAREIT Data

March 1, 2012
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Download and Parse NAREIT Data

This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as

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Portfolio Optimization – Why do we need a Risk Model

February 26, 2012
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Portfolio Optimization – Why do we need a Risk Model

In the last post, Multiple Factor Model – Building Risk Model, I have shown how to build a multiple factor risk model. In this post I want to explain why do we need a risk model and how it is used during portfolio construction process. The covariance matrix is used during the mean-variance portfolio optimization

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Multiple Factor Model – Building Risk Model

February 20, 2012
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Multiple Factor Model – Building Risk Model

This is the fourth post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Building CSFB Factors, and I will show how to build a multiple factor risk model. For an example of the multiple factor risk models, please read following references:

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Live Rolling Correlation Plot

February 19, 2012
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Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading →

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Multiple Factor Model – Building CSFB Factors

February 12, 2012
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Multiple Factor Model – Building CSFB Factors

This is the third post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Building Fundamental Factors, and I will show how to build majority of factors described in the CSFB Alpha Factor Framework. For details of the CSFB Alpha Factor Framework

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R for Quants, Part I.A

February 12, 2012
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R for Quants, Part I.A

I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …Continue reading »

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piecewise regression

February 11, 2012
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piecewise regression

A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading →

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Multiple Factor Model – Building Fundamental Factors

February 4, 2012
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Multiple Factor Model – Building Fundamental Factors

This is the second post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Fundamental Data, and I will show how to build Fundamental factors described in the CSFB Alpha Factor Framework. For details of the CSFB Alpha Factor Framework please read

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MINE: Maximal Information-based NonParametric Exploration

February 1, 2012
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MINE: Maximal Information-based NonParametric Exploration

There was a lot of buzz in the blogosphere as well as the science community about a new family of algorithms that are able to find non-linear relationships over extremely large fields of data. What makes it particularly useful is that the measure(s) it...

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