Posts Tagged ‘ R Language ’

Cross-sectional skewness and kurtosis: stocks and portfolios

April 30, 2012
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Cross-sectional skewness and kurtosis: stocks and portfolios

Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in “Replacing market indices” and Figure 1. Figure 1: A cross-sectional distribution of simple returns of stocks. In particular they will have values for skewness and … Continue reading...

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A variance campaign that failed

April 23, 2012
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A variance campaign that failed

they ought at least be allowed to state why they didn’t do anything and also to explain the process by which they didn’t do anything. First blush One of the nice things about R is that new statistical techniques fall into it.  One such is the glasso (related to the statistical lasso) which converts degenerate … Continue reading...

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Information flows like water

April 16, 2012
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Information flows like water

Guiding a ship, it takes more than your skill Spark David Rowe’s Risk column this month is about data leverage. The idea is that you are leveraging your data if you are using it to answer questions that are too demanding of information. The piece reminded me of a talk that Dave gave a few … Continue reading...

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R Statistics Mobile Console (iPhone)

April 13, 2012
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R Statistics Mobile Console (iPhone)

I’m trying to make a mobile version of R-GUI, here is one (trying with iPhone emulator), not so beautiful, but still work. Try at CloudStat Mobile. Below are the screenshots:HomepageWeb-based R ConsoleStatistical Apps Directory ( R Apps )...

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Betas of the low vol cohorts

April 4, 2012
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Betas of the low vol cohorts

How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios — the so-called low vol cohorts — as of 2007 and showed their performance up to about a month ago. “Rebalancing the low vol cohorts” looked at … Continue reading...

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Replacing market indices

April 2, 2012
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Replacing market indices

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896.  This was when computers were humans with adding machines (but they did do parallel processing).  At that point boiling “the market” down to a single number had value. … Continue reading...

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Draw Your Breast with CloudStat – A R Apps (for fun)

March 31, 2012
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Draw Your Breast with CloudStat – A R Apps (for fun)

This is a simple apps, called “Draw Your Breast with R“  created with R to generate Breast alike graphics. With this Draw Your Breast with R apps, you can change 4 parameters which are Theta, Phi, Expand and Color to generate graphics like...

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Beta is not volatility

March 26, 2012
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Beta is not volatility

The missing link between beta and volatility is correlation. Previously “4 and a half myths about beta in finance” attempted to dislodge several myths about beta, including that beta is about volatility. “Low (and high) volatility strategy effects” showed a plot of beta versus volatility for stocks in the S&P 500 for estimates from 2006.  … Continue reading...

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Levenshtein distance in C++ and code profiling in R

March 25, 2012
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Levenshtein distance in C++ and code profiling in R

At work, the client requested, if existing search engine could accept singular and plural forms equally, e. g. “partner” and “partners” would lead to the same result. The first option – stemming. In that case, search engine would use root of a word, e. g. “partn”. However, stemming has many weaknesses: two different words might have same root, a

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Low (and high) volatility strategy effects

March 23, 2012
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Low (and high) volatility strategy effects

Does minimum variance act differently from low volatility?  Do either of them act like low beta?  What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing.  Here we look not at a single portfolio of a given strategy over time, but … Continue reading...

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