Monthly Archives: January 2011
Some market predictions
We look at a few forecasts for the year 2011 that we’ve run across, and compare them with the prediction distributions presented in Revised market prediction distributions. FTSE 100 There is a “range forecast” on an Interactive Investor page of 5350 to 6565. It isn’t clear (to me at least) what this means, but I … Continue reading
Posted in Fund management in general, R language
Tagged 2011 market prediction, market prediction
2 Comments
Revised market prediction distributions
This provides revised plots of the prediction distributions published yesterday. The previous plots of prediction distributions should be ignored — they are not doing as advertised. We show the prediction distribution of levels of several equity indices (plus oil price) at the end of 2011 assuming nothing happens. That is, we’ve taken out market trends … Continue reading
Posted in Fund management in general, R language
Tagged 2011 market prediction, market prediction
4 Comments
Creating prediction distributions
Here we give details and code for the prediction distributions exhibited in yesterday’s blog post “Tis the season to predict”. [Revision: There was a problem with the plots published in that post. For corrected plots and an explanation of the error, see Revised market prediction distributions.] Eight years of returns The equity indices use daily … Continue reading
Posted in Fund management in general, R language
Tagged garch simulation, loess, market prediction
4 Comments
Tis the season to predict
I predict there will be a lot of predictions of markets for the coming year. Here is a calibration of such predictions. We show the prediction distribution of levels of several equity indices (plus oil price) at the end of 2011 assuming nothing happens. That is, we’ve taken out market trends and just left drift … Continue reading
Posted in Fund management in general
Tagged 2011 market prediction, market prediction
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