Category Archives: Blog
Change of RSS feed
Due to problems with Feedburner, we are changing the RSS feed. If you subscribe via RSS, then you will need to resubscribe (after some brief period). Email subscriptions should transfer okay (though you should not expect to get this post via email). But there is some possibility that some will get dropped. Sorry for the … Continue reading
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Release of Portfolio Probe version 1.05 plus blog problems
June has been a good month for releases of Portfolio Probe and a bad month for disseminating the blog. Version 1.05 This is a minor release, primarily to fix some bugs, but a little sugar slipped in as well. bug: when forced trades created a portfolio that satisfied all of the constraints, then all “random” … Continue reading
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Two new, important books on R
Two books were recently published that are sure to help R grow even faster. R has a reputation, partially deserved, for being hard to learn. These books will help. The first makes learning easier, the second can make learning less necessary for initiates. I have not yet touched either book. R for Dummies The authors … Continue reading
Posted in Book review, R language
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To R or not to R, and other events
New events To R, or not to R, that is the question The Statistical Computing Section of the Royal Statistical Society presents a one-day event on 2012 June 29. The details of the day. See in particular the abstract for “Teaching statistics: a pain in the R?” by Andy Field — it involves a sheepdog … Continue reading
Posted in Events, R language
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High frequency trading and the volume clock
A pictorial summary of “The Volume Clock: Insights into the High Frequency Paradigm” by David Easley, Marcos M. Lopez de Prado and Maureen O’Hara. “HFT” means “high-frequency trading/trader”, “LFT” means “low-frequency trading/trader”. Legend holds that Nathan Mayer Rothschild used racing pigeons to front run his competitors and trade on the news of Napoleon’s defeat at … Continue reading
Cross sectional spread of stock returns
A look at a simplistic measure of stock-picking opportunity. Motivation The interquartile range (the spread of the middle half of the data) has recently been added to the market portrait plots. Putting those numbers into historical context was the original impulse. However, this led to thinking about change in stock-picking opportunity over time. Data Daily … Continue reading
Posted in Quant finance, R language
Tagged garch, interquartile range, S&P 500, stock-picking opportunity
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Smoothing the market for alpha
How to get money to alpha, and vice versa. The problem Let’s focus on two groups: People who have money and want alpha People who have alpha and want money When there is a cross between those two groups, there is happiness. Identifying Group 1 is easy. Identifying people who want money is not difficult … Continue reading
Variability in maximum drawdown
Maximum drawdown is blazingly variable. Psychology Probably the most salient feature that an investor notices is the amount lost since the peak: that is, the maximum drawdown. Just because drawdown is noticeable doesn’t mean it is best to notice. Statistics The paper “About the statistics of the maximum drawdown in financial time series” explores drawdown … Continue reading
Inferno-ish R
CambR was nice enough to invite Markus Gesmann and me to speak at their event on Tuesday. My talk was Inferno-ish R. See also The R Inferno. Epilogue Subscribe to the Portfolio Probe blog by Email
