Posts Tagged ‘ finance ’

Building diversified portfolios with R

October 27, 2011
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Building diversified portfolios with R

A common approach to reducing risk associated with financial portfolios is diversification. A portfolio made of components that are all highly correlated with each other -- a portfolio composed solely of financial stocks, for example -- is risky, because if there's a wide-spread crisis that affects the banking sector, all components of the portfolio will tank at once, together....

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Backtesting Part 4: random strategies

October 21, 2011
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Backtesting Part 4: random strategies

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return...

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The R-Files: Paul Teetor

October 19, 2011
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The R-Files: Paul Teetor

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Paul Teetor Profession: Quantitative developer (freelance) Nationality: American Years Using R: 7 Known for: Author of R Cookbook (O’Reilly Media, 2011) An active member of the R community, Paul Teetor is a quantitative developer and statistical consultant based in the...

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Short selling, volatility and bubbles

October 17, 2011
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Short selling, volatility and bubbles

Yesterday, I wrote a post (in French) about short-selling in financial market since some journalists claimed that it was well-known that short -selling does increase volatility on financial market. Not only in French speaking journals actually, sin...

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Backtesting a Simple Stock Trading Strategy: Part 3

October 17, 2011
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Backtesting a Simple Stock Trading Strategy: Part 3

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In a previous post, I examined a simple stock trading strategy: Find the high point over the la...

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Webinar Oct 13: Successful uses of R in Banking

October 6, 2011
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On Thursday October 13, Hong Ooi from ANZ (Australia and New Zealand Banking Group) will give a webinar presentation on Successful Uses of R (along with SAS and Excel) in Banking. We've covered Hong's use of R for credit risk analysis here on the blog before, and in next week's webinar he'll take an in-depth look at applying R...

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Are new SEC rules enough to prevent another Flash Crash?

September 22, 2011
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Are new SEC rules enough to prevent another Flash Crash?

At 2:42PM on March 10 2010, without warning, the Dow Jones Industrial Index plunged more than 1000 points in just 5 minutes. It remains the biggest one-day decline in this stock market index in history. On an intra-day basis, anyway: by the end of the day, the market had regained 600 points of the drop. At the time, the...

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Recession forecasting III: A Better Naive Forecast

September 20, 2011
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Recession forecasting III: A Better Naive Forecast

In Recession Forecasting Part II, I compared the accuracy of Hussman's recession forecasts to the accuracy of a naive forecast that assumed the current state of the recession variable would continue next month. An anonymous comment...

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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

September 16, 2011
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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In my last post, I demonstrated how to backtest a simple momentum-based stock trading strategy ...

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How Lloyd’s of London uses R for Insurance

September 15, 2011
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How Lloyd’s of London uses R for Insurance

Lloyd's is the world's leading specialist insurance market, and is often the first to insure new, unusual or complex risks. So it's no surprise that Lloyd's is one of the many companies that use R and its advanced capabilities for data analysis to help manage its insurance risks. At the useR! conference last month, Lloyd's analysts Markus Gesmann, Viren...

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