Articles by Peter Chan

Modeling Interest Rates Meucci Style

June 24, 2015 | Peter Chan

I have signed up for Attilio Meucci’s ARPM Bootcamp next month (July 13-18) in NYC, and need to do quite a bit of prep as it’s going to be a deep-dive…The Advanced Risk and Portfolio Management Bootcamp provides in-depth understanding of buy-side ... [Read more...]

FOMC Cycle Trading Strategy in Quantstrat

March 14, 2015 | Peter Chan

Another hotly anticipated FOMC meeting kicks off next week, so I thought it would be timely to highlight a less well-known working paper, “Stock Returns over the FOMC Cycle”, by Cieslak, Morse and Vissing-Jorgensen (current draft June 2014). Its main result is:Over the last 20 years, the average excess return on ... [Read more...]

Update on The Pre-FOMC Announcement Drift

March 3, 2015 | Peter Chan

In the February 2015 edition of The Journal of Finance, a well known academic paper, “The Pre-FOMC Announcement Drift”, was finally published, almost 4 years after the working paper was released in the public domain in 2011.Authored by researchers, Lucca and Moench, at the US Federal Reserve, it documents the tendency for ... [Read more...]

FOMC Dates – Full History Web Scrape

January 21, 2015 | Peter Chan

As I delve into the existing academic research regarding price patterns around US Federal Open Market Committee (FOMC) meetings, it’s clear that I will need more data than I collected in the previous post FOMC Dates - Scraping Data From Web Pages.Which reminds me of the quote by ... [Read more...]

FOMC Dates – Price Data Exploration

December 14, 2014 | Peter Chan

As a first step in visualizing/exploring the data from my last post, FOMC Dates - Scraping Data From Web Pages, I’ll plot the FOMC announcement dates along with the following price series: 2-Year and 10-Year US Treasury yields, S&P500 ETF (SPY) and USD Index ETF (UUP).I’... [Read more...]

FOMC Dates – Scraping Data From Web Pages

November 30, 2014 | Peter Chan

Before we can do some quant analysis, we need to get some relevant data - and the web is a good place to start. Sometimes the data can be downloaded in a standard format like .csv files or available via an API e.g. but often ... [Read more...]

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)