Many of the sites I linked to in the previous post have articles or papers on momentum investing that investigate the typical ranking factors; 3, 6, 9, and 12 month returns. Most (not all) of the articles seek to find which is the “best” look-back period to rank the assets. Say that the outcome of … Continue reading...
I haven’t heard much about correlation lately. I was curious about what it’s been doing. Data The dataset is daily log returns on 464 large cap US stocks from the start of 2006 to 2012 October 5. The sector data were taken from Wikipedia. The correlation calculated here is the mean correlation of stocks among … Continue reading...
Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading...
This week, I got my hands on some agricultural trade data. Trade data are typically extremely dirty so treat with care when you get your hands on them. Lab standard equipments are required.So I decided to look how countries trade by plotting the ...
The variability of garch estimates when the series has 100,000 returns. Experiment The post “Variability of garch estimates” showed estimates of 1000 series that were each 2000 observations long. Here we do the same thing except that the series each have 100,000 observations. That would be four centuries of daily data. It’s not presently feasible … Continue reading...
Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Stock Market and US elections
We made a very simple R file that historically gathers the period before and after the US elections. The inexperienced user has the ability to set the tickers of asset she wants to study and the look-back and look-forward...
While back-testing trading strategies I want all assets to have long history. Unfortunately, sometimes there is no tradeable stock or ETF with sufficient history. For example, I might use GLD as a proxy for Gold allocation, but GLD is only began trading in November of 2004. We can extend the GLD’s historical returns with its 
I got a question last week about going from the backtest to the trading. For example, if our system is based on today’s close, we can approximate the close value by the price at say 3:30pm, determine the signal and still have time enter the trade. It is not perfect, but one of possible solutions. 
In the post pairs trading issues one of the problems raised was the unstable estimates of the stock’s beta with respect to the market. Here is a suggestion for a possible solution, which is not really a solution but more … Continue reading →
Time really flies… it is hard to believe that it has been over a month since my last post. Work and life in general have consumed much of my time lately and left little time for research and blog posts. Anyway, on to the post! This post will be the first in a series of … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
