In this video tutorial, it will show you how to make R analysis Modules just like MS Excel Templates using the Building Derivative Calculator app as study case. Let’s say we wanted to know the derivative of tan(x^2 + 3), commonly, we will use th...

In this video tutorial, it will show you how to make R analysis Modules just like MS Excel Templates using the Building Derivative Calculator app as study case. Let’s say we wanted to know the derivative of tan(x^2 + 3), commonly, we will use th...

A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio. At a later date we can see if that change was good or bad for the portfolio return. Say, for instance, that it helped by 16 basis points. How do we properly account for variability in that … Continue reading...

On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 for years 2006 through 2011. The behavior Figure 1 shows the actual mean correlation among stocks for the set of years and the mean correlation with … Continue reading...

New events CambR (Cambridge UK R user group) 2012 May 29 6:30 PM for 7:00 PM start. Pat Burns “Inferno-ish R” Abstract: While R is wonderful, it is not uniformly wonderful. We highlight a few things generally found to be confusing, and outline the forces that have driven such imperfections. Markus Gesmann “Interactive charts with … Continue reading...

All models are wrong, some models are more wrong than others. The streetlight model Exponential decay models are quite common. But why? One reason a model might be popular is that it contains a reasonable approximation to the mechanism that generates the data. That is seriously unlikely in this case. When it is dark and … Continue reading...

How many baskets are your eggs in? Meucci diversity Attilio Meucci directly addresses the adage: Don’t put all your eggs in one basket. His idea is to think of your portfolio as a set of subportfolios that are each uncorrelated with the rest. If your portfolio can be configured to have a lot of roughly … Continue reading...

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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