1740 search results for "time series"

REITs for Everybody Now REITs for Nobody Part 2

June 16, 2011
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REITs for Everybody Now REITs for Nobody Part 2

As a quick follow-up to my first REITs for Everybody Might Now Mean REITs for Nobody, I want to look at REITs and High Yield bonds, which also might simultaneously attract conservative yield buyers and speculative beta chasers.HYG (iShares High Yield) ...

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Market arrows

June 16, 2011
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Market arrows

Graphs like Figure 1 are reasonably common.  But they are not reasonable. Figure 1: A (log) price series with an explicit guide line. Some have the prices on a logarithmic scale, which is an improvement on the raw prices. The problem with this sort of plot is that two particular data points are taken as … Continue reading...

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REITs for Everybody Might Now Mean REITs for Nobody

June 12, 2011
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REITs for Everybody Might Now Mean REITs for Nobody

THIS IS MY OPINION AND ANALYSIS AND IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I think REITs traditionally attract conservative dividend investors (grandparents), but due to their recent behavior, REITs also attr...

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Can You Beat the Market with Modern Portfolio Theory? (Part 2)

June 12, 2011
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Can You Beat the Market with Modern Portfolio Theory? (Part 2)

(Obligatory Warning: This post should not be considered investment advice. The author(s) of this blog are not certified financial analysts. Any analysis presented here is meant only as an opinion. Following our opinion could end up losing you a lot of ...

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REITs for Everybody

June 10, 2011
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REITs for Everybody

THIS IS NOT INVESTMENT ADVICE.  IT IS SIMPLY MY OPINION.  LISTENING TO MY OPINION MIGHT LOSE LOTS OF MONEY. I contend that REITs now have two buyers: dividend pickers and beta chasers.  The beta chasers’ demand has driven prices to sig...

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The R-Files: Jeroen Ooms

June 9, 2011
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The R-Files: Jeroen Ooms

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Jeroen Ooms Background: Ph.D. Candidate, Statistics, UCLA Nationality: Netherlands Years Using R: 3 1/2 Known for: Developing web applications for popular R packages including ggplot2, lme4, stockplot and irttool Jeroen Ooms is a statistical consultant and R enthusiast currently pursuing...

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The pros and cons of robust data characterizations

The pros and cons of robust data characterizations

Over the years, I have looked at a lot of data contaminated with outliers, the subject of Chapter 7 of Exploring Data in Engineering, the Sciences, and Medicine.  That chapter adopts the definition of an outlier presented by Barnett and Lewis in their book Outliers in Statistical Data 2nd Edition

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Environments in R

June 4, 2011
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Environments in R

One interesting thing about R is that you can get down into the insides fairly easily. You're allowed to see more of how things are put together than in most languages. One of the ways R does this is by having first-class environments. At first glance, environments are simple enough. An environment...

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Annual Returns by State of the US Economy

June 1, 2011
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Annual Returns by State of the US Economy

Sometimes it is fun to just look at annual returns, especially as the financial world has shifted its focus to microseconds in a world of inconceivable macro imbalances.  St. Louis Fed (USREC) offers a binary state of the economy with 1=recession ...

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Overoptimizing Chicago Fed

May 31, 2011
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Overoptimizing Chicago Fed

THIS SHOULD BE OBVIOUS THROUGHOUT THE POST BUT THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT FOLLOW THIS SYSTEM AS IT COULD RESULT IN SERIOUS LOSSES. One of the perils of system-building is the tendency to unintentionally overoptimize by playing/r...

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