Posts Tagged ‘ finance ’

Random matrix theory and APT’s daily global model

January 25, 2012
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Random matrix theory and APT’s daily global model

Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …Continue reading »

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It is "simply" the average value

January 24, 2012
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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 ...

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Gold price and fear

January 18, 2012
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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-...

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Optimization for Finance with R

January 9, 2012
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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 online, and make an excellent...

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You’ve got the whole world in your portfolio

December 29, 2011
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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 its investments (its "market capitalization")....

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Submit a paper to the R/Finance conference

December 19, 2011
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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 R May 11 and...

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"With the the increasing availability of complicated alternative investment strategies to both retail…"

December 10, 2011
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“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...

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"With the the increasing availability of complicated alternative investment strategies to both retail…"

December 10, 2011
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“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...

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Course: Financial Data Modeling and Analysis in R

November 28, 2011
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The University of Washington is holding a web-based course which will be of interest to anyone who wants to learn about financial modeling with R: Financial Data Modeling and Analysis in R (AMATH 542) is a comprehensive introduction to the R statistical programming language for computational finance offered by the University of Washington Computational Finance program and taught by...

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Error Handling in Lyx & Sweave: using Quantmod (and R, of course)

November 8, 2011
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I do reports for clients with LyX and Sweave. It took me an extremely long time to get them working, but now that they’re working I can do more in an hour and thus charge more per hour. If you’re not familiar, here’s a rundown: LaTeX is the stand...

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