422 search results for "quantmod"

Bootstrap example

March 30, 2012
By
Bootstrap example

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 »

Backtesting Asset Allocation portfolios

March 18, 2012
By
Backtesting Asset Allocation portfolios

In the last post, Portfolio Optimization: Specify constraints with GNU MathProg language, Paolo and MC raised a question: “How would you construct an equal risk contribution portfolio?” Unfortunately, this problem cannot be expressed as a Linear or Quadratic Programming problem. The outline for this post: I will show how Equal Risk Contribution portfolio can be

Read more »

Download and Parse DJ/UBS Commodities Indexes

March 16, 2012
By
Download and Parse DJ/UBS Commodities Indexes

Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. Finally, it’s a good example of

Read more »

Opinions Not Backed by Money Updated Again

March 15, 2012
By
Opinions Not Backed by Money Updated Again

Strange that I am updating this post for a third time and nothing really has changed, but the fact that nothing has changed is incredibly interesting to me.  Since it is an update, I will not duplicate the explanation, so please read the last vers...

Read more »

Portfolio Optimization: Specify constraints with GNU MathProg language

March 14, 2012
By
Portfolio Optimization: Specify constraints with GNU MathProg language

I have previously described a few examples of portfolio construction: Introduction to Asset Allocation Maximum Loss and Mean-Absolute Deviation risk measures 130/30 Portfolio Construction Minimum Investment and Number of Assets Portfolio Cardinality Constraints Multiple Factor Model – Building 130/30 Index (Update) I created a number of helper functions to simplify process of making the constraints(

Read more »

NIT: Fatty acids study in R – Part 004

March 7, 2012
By
NIT: Fatty acids study in R – Part 004

It is clear that MSC does not remove the entire scatter in the raw spectra, so some of the information is hidden by the scatter. Improvement of the sample presentation will help to remove the scatter.We know that the first loading is much related to th...

Read more »

Screencast: The Making of 17018d5488

March 6, 2012
By
Screencast: The Making of 17018d5488

The following screencast demonstrates the use of R, the quantmod R package and bash to process SPX data from 1950. An explanation on how to access a git repository that includes the plots and the R console history is also provided. This screencast prod...

Read more »

Multiple Factor Model – Building 130/30 Index

March 5, 2012
By
Multiple Factor Model – Building 130/30 Index

Nico brought to my attention the 130/30: The New Long-Only (2008) by A. Lo, P. Patel paper in his comment to the Multiple Factor Model – Building CSFB Factors post. This paper presents a very detailed step by step guide to building 130/30 Index using average CSFB Factors as the alpha model and MSCI Barra

Read more »

Spurious Regression illustrated

March 4, 2012
By
Spurious Regression illustrated

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 »

Download and Parse NAREIT Data

March 1, 2012
By
Download and Parse NAREIT Data

This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as

Read more »

Sponsors

Mango solutions



RStudio homepage



Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training

datasociety

http://www.eoda.de





ODSC

ODSC

CRC R books series





Six Sigma Online Training









Contact us if you wish to help support R-bloggers, and place your banner here.

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)