1689 search results for "time series"

ARMA Models for Trading, Part II

April 20, 2011
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ARMA Models for Trading, Part II

We left the last post at the point of determining the best ARMA model. Before continuing the discussion, however, I would like to make a few points that might seem a bit questionable or unclear: We model the daily returns instead of the prices. There are multiples reasons: this way financial series usually become stationary,

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New Favorite Test of US Monetary Policy Limits

April 20, 2011
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New Favorite Test of US Monetary Policy Limits

After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield.  Unfortunately, i...

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Spreadsheet errors

April 20, 2011
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Spreadsheet errors

For my sins, I have done more than my fair share of analysis in Excel. I am quite capable of building and maintaining 130Mb spreadsheets (I had a dozen of them for one client). Excel is pretty much installed everywhere, so it is sometimes the only way...

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Spreadsheet errors

April 20, 2011
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Spreadsheet errors

For my sins, I have done more than my fair share of analysis in Excel. I am quite capable of building and maintaining 130Mb spreadsheets (I had a dozen of them for one client). Excel is pretty much installed everywhere, so it is sometimes the only way...

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Barron’s Spring 2008 Big Money Poll

April 19, 2011
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Barron’s Spring 2008 Big Money Poll

Barron's April 28, 2008, Cover Story "Back in the Pool" offers a great hindsight look at our wonderful foresight: “AND NOW, FOR SOME GOOD NEWS: THE OTHER SHOE isn't going to drop. After a winter of discontent marked by massive write-offs on Wall Str...

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Using R, Sweave and Latex to integrate animations into PDFs

April 18, 2011
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Using R, Sweave and Latex to integrate animations into PDFs

The first week of April I attended an excellent workshop on biplots held by Michael Greenacre and Oleg Nenadić at the Gesis Institute in Cologne, Germany. Throughout his presentations, Michael used animations to visualize the concepts he was explaining. He also included  animations in some of his papers. This inspired me to do this post

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Historical Sources of Bond Returns-Comparison of Daily to Monthly

April 17, 2011
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Historical Sources of Bond Returns-Comparison of Daily to Monthly

Thanks so much for the comment on my last post Historical Bond Price and Total Returns from 10y Yield Series “I know this might sound antithetical to a bond guy, but won't the monthly series get you close enough? “ which proved me wrong and allow...

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In case you missed it: March Roundup

April 14, 2011
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In case you missed them, here are some articles from February of particular interest to R users. The doSMP package, which enables parallel processing for R on multiprocessor machines, is now available on CRAN. The Offensive Politics blog provided R code used to make a map of precinct returns in the Chicago mayoral election. A connector to integrate R...

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Historical Sources of Bond Returns with Shiller Data 1919-2011

April 11, 2011
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Historical Sources of Bond Returns with Shiller Data 1919-2011

And as usual, I always want a longer data set, so after a little playing with R-Excel, we can extend our historical sources of bond returns to 1919.  If nothing else, maybe you can find other uses for the Shiller Dataset in R. From TimelyPort...

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Historical Sources of Bond Returns

April 11, 2011
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Historical Sources of Bond Returns

As promised in Monitoring Sources of Bond Return, we can show more history if we use CPI instead of expected inflation (from the TIP inflation breakeven yield).  Here are the results with history back to 1953. From TimelyPortfolio However, mo...

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