Posts Tagged ‘ blog ’

Forecasting the Eurozone Misery index

May 23, 2012
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Forecasting the Eurozone Misery index

Is Miss Stagflation coming to visit? The Misery index is the sum of inflation and unemployment rate. We would like them both to stay naturally low, and we are miserable when they are not. The index is currently floating in … Continue reading →

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Kurtosis Interpretation

May 7, 2012
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Kurtosis Interpretation

When you google “Kurtosis”, you encounter many formulas to help you calculate it, talk about how this measure is used to evaluate the “peakedness” of your data, maybe some other measures to help you do so, maybe all of a … Continue reading →

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Marriage is good for your income

April 29, 2012
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Marriage is good for your income

For those of you who are into machine learning, here you can find a cool collection of databases to play around with your favorite algorithm. I choose one out of the available 200 and fit a logistic regression model. The idea … Continue reading →

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Backtesting trading strategies with R

April 21, 2012
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Few weeks back I gave a talk about Backtesting trading strategies with R, got a few requests for the slides so here they are:

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Most profitable hedge fund style

April 21, 2012
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Most profitable hedge fund style

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading →

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Bootstrap example

March 30, 2012
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Bootstrap example

Bootstrap your way into robust inference. Wow, that was fun to write.. Introduction Say you made a simple regression, now you have your . You wish to know if it is significantly different from (say) zero. In general, people look … Continue reading →

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Europe most dangerous cities

March 15, 2012
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Europe most dangerous cities

When I was searching for data about U.S prison population, for another post, I run across eurostat, a nice source for data to play around with. I pooled some numbers, specifically homicides recorded by the police. A panel data for … Continue reading →

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Spurious Regression illustrated

March 4, 2012
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Spurious Regression illustrated

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading →

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Live Rolling Correlation Plot

February 19, 2012
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Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading →

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piecewise regression

February 11, 2012
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piecewise regression

A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading →

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