Articles by Eran

A Simple Model for Realized Volatility

December 9, 2012 | 0 Comments

The post has two goals: (1) Explain how to forecast volatility using a simple Heterogeneous Auto-Regressive (HAR) model. (Corsi, 2002) (2) Check if higher moments like Skewness and Kurtosis add forecast value to this model. It will be a high … Continue reading → [Read more...]

Most profitable hedge fund style

April 21, 2012 | 0 Comments

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading → [Read more...]

Bootstrap example

March 30, 2012 | 0 Comments

Bootstrap your way into robust inference. Wow, that was fun to write.. Introduction Say you made a simple regression, now you have your . You wish to know if it is significantly different from (say) zero. In general, people look … Continue reading → [Read more...]

Europe most dangerous cities

March 15, 2012 | 0 Comments

When I was searching for data about U.S prison population, for another post, I run across eurostat, a nice source for data to play around with. I pooled some numbers, specifically homicides recorded by the police. A panel data for … Continue reading → [Read more...]

Spurious Regression illustrated

March 4, 2012 | 0 Comments

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading → [Read more...]

Live Rolling Correlation Plot

February 19, 2012 | 0 Comments

Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading → [Read more...]

piecewise regression

February 11, 2012 | 0 Comments

A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading → [Read more...]

Pairs Trading Issues

December 20, 2011 | 0 Comments

[This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your [Read more...]

Do they really know what they are doing?

November 13, 2011 | 0 Comments

I am talking here about money managers. for those of us who have one. We assume they understand about markets in such a way that they can, and will generate at least the benchmark returns, what ever this benchmark may … Continue reading → [Read more...]

OLS beta VS. Robust beta

October 3, 2011 | 0 Comments

In financial context, is suppose to reflect the relation between a stock and the general market. A broad based index such as the S&P 500 is often taken as proxy for the general market. The , without getting into too … Continue reading → [Read more...]

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