Category Archives: Blog

The ultimate aim of the Portfolio Probing blog is to help make fund management more effective, to make savings safer through better tools and better methods. Patrick Burns, the founder of Burns Statistics, offers a unique mix of experience in quantitative finance, statistics, computing and writing.

Reminiscences of R in Finance 2016

Posted on 2016/05/29 by Pat

When I announced R in Finance 2016 I talked about 2 days of conference and 50 speakers.  I missed out the 3 days of sleep deprivation. But a pleasant 3 days of sleep deprivation it was — seeing old friends and making new ones. I’m not sure that Mother Mary believed me that in our … Continue reading →

Posted in Quant finance, R language | 2 Comments

R in Finance and other events

Posted on 2016/04/16 by Pat

Highlighted R in Finance 2016 May 20-21, Chicago. 2 days, limited space, 50 speakers, including: Pat Burns on “Some Linguistics of Quantitative Finance” Abstract: How can the abstract be written for a talk with an ambiguous and possibly misleading title without itself being vague and misleading? I don’t know, but perhaps: A quest to discover how markets work … Continue reading →

Posted in Events, R language | 2 Comments

US market portrait 2015 week 26

Posted on 2015/06/27 by Pat

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by Wikipedia on 2015 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however … Continue reading →

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Review of “Money, Blood and Revolution” by George Cooper

Posted on 2014/09/28 by Pat

How Darwin and the doctor of King Charles I could turn economics into a science. Executive summary If you are confused by economics, then you should read this book.  If you are not confused by economics, then you really, really need to read this book. The book is inexpensive, not very long, and it’s important … Continue reading →

Posted in Book review, Economics | Tagged , | 1 Comment

Effective risk management with R

Posted on 2014/09/21 by Pat

Conference The first EARL Conference (Effective Applications of the R Language) was held 2014 September 15-17 in London. Talk My talk was “Effective risk management with R” (annotated slides). Instability hypothesis When I was preparing for the talk, one of my ideas was to show the Google trend for searches for Minsky’s instability hypothesis.  I … Continue reading →

Posted in R language, Risk | Tagged , | 4 Comments

EARL and other upcoming events

Posted on 2014/07/28 by Pat

Highlighted EARL As in “Effective Applications of the R Language”. 2014 September 15-17, London. Somehow they gave higher billing to Ben Goldacre than to Pat Burns.  If Obama were coming, they’d probably bill him above me too — and what does he know about R?  In spite of that little glitch, I’m sure it will … Continue reading →

Posted in Events, R language | 1 Comment

BurStFin R package version 1.02 released

Posted on 2014/03/16 by Pat

More efficiency and an additional function in the new version on CRAN. Variance estimation The major functionality in the package is variance estimation: Ledoit-Wolf shrinkage via var.shrink.eqcor statistical factor model (principal components) via factor.model.stat There have been a number of previous blog posts on both factor models and Ledoit-Wolf shrinkage. Positive-definiteness The default value of … Continue reading →

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A complicated answer to a simple correlation question

Posted on 2014/02/09 by Pat

A data analysis surprise party. Simple question If I have correlation matrices each estimated with a month of daily returns, how much worse is the average of six of those compared to the estimate with six months of daily data? Expected answer Do a statistical bootstrap with the returns and compare the standard deviations across … Continue reading →

Posted in Quant finance, R language | Tagged , | 4 Comments

The portfolio optimization higher-moment credo

Posted on 2014/01/26 by Pat

The question of skewness and kurtosis in portfolio optimization. Previously Problem 4 of “The top 7 portfolio optimization problems” concerns the use of higher moments. “Further adventures with higher moments” is the most recent in a series of posts on the efficacy of higher moments in optimization.  This set includes the observation that “trade selection” … Continue reading →

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What is volatility?

Posted on 2014/01/19 by Pat

Some facts and some speculation. Definition Volatility is the annualized standard deviation of returns — it is often expressed in percent. A volatility of 20 means that there is about a one-third probability that an asset’s price a year from now will have fallen or risen by more than 20% from its present value. In … Continue reading →

Posted in Fund management in general, R language | Tagged | 5 Comments