Monthly Archives: October 2013
An interview regarding social impact bonds
An interview with Russ Bubley: Russ is the founder of i for change, a social investment strategy consultancy working with charities, social enterprises, government and investor groups to bring innovative capital markets solutions to social and environmental problems. Pat: The last time I saw you in person you were doing risk management. How did you … Continue reading
US market portrait 2013 week 43
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 — you are free … Continue reading
Quant finance blogs
What I’ve learned from updating the blogroll. New entries The easy option is to go to The Whole Street which aggregates lots of quant finance blogs. Somehow Bookstaber missed out being on the blogroll before — definitely an oversight. Timely Portfolio was another that I was surprised wasn’t already there. The R Trader talks about … Continue reading
Posted in Quant finance, R language
7 Comments
US market portrait 2013 week 42
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 — you are free … Continue reading
Four moments of portfolios
What good are the skewness and kurtosis of portfolios? Previously The post “Cross-sectional skewness and kurtosis: stocks and portfolios” looked at skewness and kurtosis in portfolios. The key difference between that post and this one is what distribution is being looked at. The previous post specified a single time and looked at the distribution across … Continue reading
US market portrait 2013 week 41
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 — you are free … Continue reading
The look of verifying data
Get data that fit before you fit data. Why verify? Garbage in, garbage out. How to verify The example data used here is daily (adjusted) prices of stocks. By some magic that I’m yet to fathom, market data can be wondrously wrong even without the benefit of the possibility of transcription errors. It doesn’t seem … Continue reading
Posted in Quant finance, R language
Tagged data errors, data verification, missed stock split
9 Comments
US market portrait 2013 week 40
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 — you are free … Continue reading
