Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...
During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...
Jeffrey Ryan's quantmod package makes it simple to download and graph pricing data from a variety of sources. A couple of lines of R is all it takes to see that silver has had a very bad week.
There must be a useful insight, concept, or system provided by the new S&P 500 High Beta and Low Volatility Indexes. Now with the announcement by Powershares of etfs for these indicies http://www.invescopowershares.com/volatility/, any of the...
After all my complaining about proprietary data, the St. Louis Federal Reserve announced today the availability of Bank of America Merrill Lynch Bond Indicies on their FRED site. The data is limited in scope and duration, but accessibility especi...
After the helpful comment by Bradley on my post Commodity Index Estimators, How about the National Agricultural Statistics Service (NASS)? Looks like they have information for prices received back to 1908 for many agricultural goods (http://www.nass.u...
When I see extremes, I feel compelled to explore. The US 10y Treasury yield is at an extreme versus the annualized 3 month CPI rate of change. From TimelyPortfolio Of course, I have to try to build a system around the idea. While this 3 mont...
In this post I will show my first try at a commodity index substitute. Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data. I hav...
I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend. You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages. I hate that I coul...
In the last post I showed how to pick the parameters for the ARMA model. The next step is to determine the position at the close. One way to do that is by a one day ahead prediction, if the prediction comes negative (remember the series we are operating on is the daily returns) then 
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
