Posts Tagged ‘ currencies ’

Resurrect Posts on Japan and the Yen

October 22, 2012
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Resurrect Posts on Japan and the Yen

As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites. Japan Trade by Geographic RegionJapanese Trade and the YenJapan Intentional or...

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GARCH Panel in plot.xts

August 17, 2012
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GARCH Panel in plot.xts

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:

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How do you say “We Will Do Whatever It Takes” in Thai?

August 2, 2012
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How do you say “We Will Do Whatever It Takes” in Thai?

As the market has already started to poke holes in Draghi’s promise, I thought it would be good to continue the series of posts that I began with the British version “We Will Do Whatever it Takes” with my favorite article written during the Asia ...

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Inspirational Stack Overflow Dendrogram Applied to Currencies

July 25, 2012
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Inspirational Stack Overflow Dendrogram Applied to Currencies

When I saw the answer to this Stack Overflow question, I immediately remembered working on my old post Clustering with Currencies and Fidelity Funds and just had to try to apply this technique.  As I should have guessed, it worked with only a mini...

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Conditional Drawdown Exploration

May 31, 2012
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Conditional Drawdown Exploration

After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...

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Japan Trade More Specifically with Korea

March 13, 2012
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Japan Trade More Specifically with Korea

Macro analysis of Japanese trade in posts Japanese Trade and the Yen and Japan Trade by Geographic Region revealed some very interesting changes.  Since the Korean Won is so undervalued versus the Japanese Yen on a Purchasing Power Parity (PPP) ba...

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Japan Trade by Geographic Region

March 12, 2012
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Japan Trade by Geographic Region

To further the analysis presented in Japanese Trade and the Yen, I thought I would take the more granular data provided by the Japanese Ministry of Finance on trade by geographic region.  Of course, I will use R to read, analyze, and plot the .csv...

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Japanese Trade and the Yen

March 7, 2012
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Japanese Trade and the Yen

I have had the pleasure over the last couple of weeks to help plan the CFA Society of Alabama 2012 Dinner featuring Jim Rogers and Barron’s Senior Editor Jack Willoughby.  The event was fantastic, and I would like to publicly thank Jim Rogers an...

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Foreign Currencies and US 10y Treasury Yields

January 17, 2012
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Foreign Currencies and US 10y Treasury Yields

Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...

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Are We Japanese?

January 13, 2012
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Are We Japanese?

Most of the discussion trying to determine if the U.S. is Japan 20 years later focuses on the economy and the stock market.  However, one of the biggest and most persistent correlations between Japan and the U.S. are the Japanese Yen and the U.S. ...

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