Bear hunting

December 6, 2010 | Pat

When were there bear and bull markets in US stocks since 1950? Smoothing While we’d really like to estimate the expected return at each point in time, finding bear markets is ambitious enough.  The plan starts by smoothing the daily returns through time, as in Figure 1. Figure 1: Smoothed returns with ... [Read more...]

Introduction to statistical finance with R

October 19, 2010 | Ryan

During the first part of our meeting, Nicolas Christou gave an introduction of statistical finance in R, and presented a package he co-authored with previous PhD student David Diez (2010). Video of the talk is below: During the second part, … Continue reading →
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