How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird.  The original idea was of peakedness — how peaked is the distribution at the center.  That’... [Read more...]

The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for  the year.  If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, ... [Read more...]

In my previous post, I tried to show, that Rcpp is 1000 faster than pure R and that generated the fuss in the comments. Being lazy, I didn’t vectorize R code and at the end I was comparing apples vs oranges. To fix that problem, I built a new script, ... [Read more...]

Computational Econometrics: Aggregate Demand with Random Parameters: From microeconomics we know that individuals and firms have demand curves for goods and services. But what happens when you try to get a picture of the demand for goods and services f... [Read more...]

While ago I built two R scripts to track OMX Baltic Benchmark Fund against the index. One script returns the deviation of  fund from the index and it works fast enough. The second calculates the value of the fund every minute and it used to take for while. For example, ... [Read more...]

How to create the best Interactive R Language Online Learning Platform from the views of R community?: R offers a breadth and depth in statistical computing beyond what is available in commercial closed source products. Yet R remains, primarily, a ... [Read more...]

Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily ... [Read more...]

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How symmetric are the returns of the S&P 500? How does the skewness change over time? Previously We looked at the predictability of kurtosis and skewness in S&P constituents.  We didn’t see any predictability of skewness among the constituents.  Here we look at skewness from a different angle. ... [Read more...]

If you’re one of the R-bloggers or useRs, most probably you had heard about Crdata.org. In the early day, they are two very R related cloud computing services, one is CloudNumbers, another is CrData.org. Recently, we (may) received an email by Hamid ... [Read more...]

Scraping table from any web page with R or CloudStat: You need to use the data from internet, but don’t type, you can just extract or scrape them if you know the web URL. Thanks to XML package from R. It provides amazing readHTMLtable() function. For... [Read more...]

Statistical Methods for the Chain Ladder Technique Revisited: Source: Statistical Methods for the Chain Ladder Technique Demo Background Forecasting outstanding claims and setting up suitable reserves to meet these claims is an important part of the b... [Read more...]

You need to use the data from internet, but don’t type, you can just extract or scrape them if you know the web URL. Thanks to XML package from R. It provides amazing readHTMLtable() function. For a study case, I want to scrape data: US Airline Custo... [Read more...]

Hardcopy versions of both The R Inferno and S Poetry are now available for sale. Physical economy Buy The R Inferno (the version dated 2011 April 30)   Buy S Poetry Discount The publisher, Lulu, has a coupon for a 25% discount off purchases (up to a maximum of $50) that is good until the … ... [Read more...]

This demo will use a study case, how a general insurance company use CloudStat to estimate outstanding claims. Background Forecasting outstanding claims and setting up suitable reserves to meet these claims is an important part of the business of a gen... [Read more...]

Equal risk contribution of assets determines the asset weights given the variance matrix.  How sensitive are those weights to the variance estimate? Previously The post “Risk parity” gave an overview of the idea. In particular it distinguished the cases: the assets have equal risk contribution groups of assets have equal ... [Read more...]

This is the second lesson of CloudStat School, Lesson 2: Values & Variables. At the end of the lesson 2, you should know: 1. Inserting values into valuables 2. Calling valuables 3. Simple operation within variables. 2.1 Assign/Insert Values into Vari... [Read more...]

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This is the first lesson of CloudStat School, Lesson 1: Overview of R Language & CloudStat School. The objective of this lesson is introducing R Language and how you can be a R programmer or a data analyst through CloudStat School. At the end of this l... [Read more...]

A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post “Revised market prediction distributions” presented plots showing the variability of various markets assuming no market-moving forces. The follow-up post “Some market predictions enhanced some of those ... [Read more...]