One factor that is critical for any financial planning is estimating what future inflation will be. For example, if you’re saving money in an instrument that gains 3% per year, and inflation is estimated to be 4% per year, well then you’re losing m...
Posts Tagged ‘ finance ’
It is "simply" the average value
for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned "Take any stock in the United ...
Analyzing Federal Bailout Recipients in R
I was searching for open data recently, and stumbled on Socrata. Socrata has a lot of interesting data sets, and while I was browsing around, I found a data set on federal bailout recipients. Here is the data set. However, data sets on Socrata are no...
Gold price and fear
Via @theEconomist, I understood that there might be connections between the price of Gold (which is said to be extremely high nowadays) and the VIX SP500 index (the option volatility index, i.e. the so-called "fear index", as discussed - in French-...
Backtesting a Trading Strategy
I've ordered Time Series Analysis and Its Applications: With R Examples (Springer Texts in Statistics) to help me up the time series in R learning curve. So far what I have seen it looks good. The author has a good page with the issues in R and time ...
Optimization for Finance with R
Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the course materials are available...
You’ve got the whole world in your portfolio
A famous finance professor once told us that good diversification meant holding everything in the world. Fine, but in what proportion? Suppose you could invest in every country in the world. How much would you invest in each? In a market-capitalization weighted index, you'd invest in each country in proportion to the market value of...
Submit a paper to the R/Finance conference
For anybody using the R language to analyze financial data, the R/Finance conference is the conference of the year. If you have something to share about applied finance with R, the call for papers is now open. The details are below, and the deadline for submissions is January 31, 2012. R/Finance 2012: Applied Finance...
"With the the increasing availability of complicated alternative investment strategies to both retail…"
“With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as import...
A look at market returns by month
I’ve been reading The Big Picture, and again, there was a discussion about seasonality in stock markets (see Fourth Quarter is Da Bomb). I’ve already discussed the two seasonal investment scenarios (Nov. to Apr VS May to Oct) in this post, and was wondering if one could break it down further into a monthly...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).