Monthly Archives: March 2013
US market portrait 2013 week 13
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
US market portrait 2013 week 12
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
Variability of garch predictions
How variable are garch predictions? Previously There have been several posts on garch, in particular: A practical introduction to garch modeling The components garch model in the rugarch package Both of these posts speak about the two common prediction targets: prediction (of volatility) at the individual times (usually days) term structure prediction — the average … Continue reading
US market portrait 2013 week 11
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
Upcoming events
Highlighted LondonR is soon — see the “Previously Announced” section. New Events Thirsty Quants 2013 March 21, London. Some thirsty quants will be going for a drink on the 21st of March as of 18.30 at the Lamb Tavern in Leadenhall Market. http://www.lambtavernleadenhall.com/ Rethinking the Economics of Pensions 2013 March 21 & 22 in London. … Continue reading
Posted in Events, R language
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US market portrait 2013 week 10
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
Predicted correlations and portfolio optimization
What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike during a crisis which is when you most want optimization to work. This post looks at a small piece of that question. It wonders if increasing predicted … Continue reading
US market portrait 2013 week 9
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R
