616 search results for "TRADING"

Registration for R/Finance 2012 is Open

April 15, 2012
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Registration for R/Finance 2012 is Open

Registration has been open for a while, but I wanted to point out the pre-conference seminars. Registrations are strong this year, so if you’re interested you’ll need to sign up before they sell out. Register here… As you probably know by now, the fourth annual R/Finance conference for applied finance using R will be held

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Low Volatility with R

April 12, 2012
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Low Volatility with R

Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility Test in quantstrat Starting Equity: 100,000 … Continue reading...

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R-Bloggers’ Web-Presence

April 6, 2012
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We love them, we hate them: RANKINGS!Rankings are an inevitable tool to keep the human rat race going. In this regard I'll pick up my last two posts (HERE & HERE) and have some fun with it by using it to analyse R-Bloggers' web presence. I will use...

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How I Learned to Stop Worrying and Love Twitter

April 4, 2012
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In honor of Twitter making the decision to come to Detroit, here’s a special post on how I became a Twitter user. … At 3:30pm my wife called me. There was a shooting where my brother-in-law works at UPMC Western...

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Replacing market indices

April 2, 2012
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Replacing market indices

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896.  This was when computers were humans with adding machines (but they did do parallel processing).  At that point boiling “the market” down to a single number had value. … Continue reading...

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Quantitative finance and computational systems

April 1, 2012
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Quantitative finance and computational systems

I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the …Continue reading »

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Mapped: British, Spanish and Dutch Shipping 1750-1800

March 30, 2012
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Mapped: British, Spanish and Dutch Shipping 1750-1800

I recently stumbled upon a fascinating dataset which co

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Google summer of code 2012 – and R – a call for students

March 26, 2012
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Google summer of code 2012 – and R – a call for students

Google has again accepted R as a mentoring organization for Google Summer of Code. R has successfully participated in GSoC in multiple previous years, and is excited to be returning this year as a mentoring organization. In a nutshell:  If you are a student looking to write some code for the R community, Google is willing to pay you...

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Beta is not volatility

March 26, 2012
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Beta is not volatility

The missing link between beta and volatility is correlation. Previously “4 and a half myths about beta in finance” attempted to dislodge several myths about beta, including that beta is about volatility. “Low (and high) volatility strategy effects” showed a plot of beta versus volatility for stocks in the S&P 500 for estimates from 2006.  … Continue reading...

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Low (and high) volatility strategy effects

March 23, 2012
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Low (and high) volatility strategy effects

Does minimum variance act differently from low volatility?  Do either of them act like low beta?  What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing.  Here we look not at a single portfolio of a given strategy over time, but … Continue reading...

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