Posts Tagged ‘ lattice ’

Cash–Opportunity Lost or Opportunity Gained

November 7, 2012
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Cash–Opportunity Lost or Opportunity Gained

Tom Brakke from http://researchpuzzle.com/ wrote a great thought piece Cash as Trash, Cash as King, and Cash as a Weapon for the CFA Institute blog.  My favorite part comes in the last paragraph: “That’s the kind of analysis that should be br...

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Plotting large amounts of atmospheric data

November 4, 2012
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Plotting large amounts of hourly atmospheric data body, td { font-family: sans-serif; background-color: white; font-size: 12px; margin: 8px; } tt, code, pre { font-family: 'DejaVu Sans Mono', 'Droid Sans Mono', 'Lucida Console',...

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Japanese Government Bond (JGB) Data Since 1974

October 16, 2012
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Japanese Government Bond (JGB) Data Since 1974

The Ministry of Finance Japan very generously provides data on JGBs back to 1974.  Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):

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Not Much of a Grand Finale. What if We Go To 0?

October 15, 2012
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Not Much of a Grand Finale. What if We Go To 0?

When I ask the question “What if the US 10 year goes to 0?", most do not know the effect, the catalyst, or if 0 has ever happened before.  The math is fairly simple to do in Excel or with an old-school calculator, but let’s use RQuantLib to do...

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Continuous dispersal on a discrete lattice

September 27, 2012
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Continuous dispersal on a discrete lattice

Dispersal is a key process in many domains, and particularly in ecology. Individuals move in space, and this movement can be modelled as a random process following some kernel. The dispersal kernel is simply a probability distribution describing the distance travelled in a given time frame. Since space is continuous, it is natural to use

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Russell 2000 Softail Fat Boy

August 31, 2012
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Russell 2000 Softail Fat Boy

If the Russell 2000 were a motorcycle, maybe it should be a Harley-Davidson Softail Fat Boy.  I have explored the exception case of the Russell 2000 in quite a few posts More Exploration of Crazy RUT Where are the Fat Tails? Crazy RUT but I st...

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48 Industries (Dendrogram Ordered) Over 50 Years

August 9, 2012
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48 Industries (Dendrogram Ordered) Over 50 Years

Thanks to reader AHWest for the comment on post 48 Industries Since 1963. “I think it would be interesting to see the industries ordered by some sort of similarity of returns.” I think this is a great suggestion, and I would like to see it also.&n...

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“Trend is Not Your Friend” Applied to 48 Industries

August 8, 2012
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“Trend is Not Your Friend” Applied to 48 Industries

Please see previous post Crazy RUT in Academic Context Why Trend is Not Your Friend. I’ll repeat the intro to the post mentioned above, so we can all get caught back up. In response to Where are the Fat Tails?, reader vonjd very helpfully referred me...

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48 Industries Since 1963

August 7, 2012
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48 Industries Since 1963

Please see http://timelyportfolio.blogspot.com/search/label/horizonplot for all horizon plot posts. Once more thanks to Ken French for his data, we can accomplish something I think is fairly amazing.  In 640x800, we can see 250 day rollling return...

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Application of Horizon Plots

July 31, 2012
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Application of Horizon Plots

for background please see prior posts Horizon Plot Already Available and Cubism Horizon Charts in R Good visualization simplifies, and stories are better told with effective and pretty visualizations. Although horizon plots are not immediately intuitiv...

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