Category Archives: Blog
Realized efficient frontiers
A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant. I’ve made fun of it before. This post explores the efficient frontier in a slightly less snarky fashion. Data The universe is 474 stocks in the S&P 500. The predictions are made using data from … Continue reading
Posted in Quant finance, R language
Tagged efficient frontier, Ledoit-Wolf shrinkage, MACD, S&P 500
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What does ‘passive investing’ really mean?
We know the words but what do they mean? Some definitions Here are some definitions of “passive investment management”. Investopedia says: A style of management associated with mutual and exchange-traded funds (ETF) where a fund’s portfolio mirrors a market index. Wikipedia says: Passive management (also called passive investing) is a financial strategy in which an investor (or … Continue reading
Blog aggregators
The Portfolio Probe blog is caught by two blog aggregators. Finance MoneyScience has an aggregation of financial blogs. It now catches over 50 blogs. R R Bloggers captures the Portfolio Probe posts that are in the R Language category. It gets posts from over 300 blogs that talk about R. Figure 1 shows a plot … Continue reading
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The BurStFin R package
Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, but the variance estimation functions could be of use in other applications as well. Also of general interest is threeDarr which creates a three-dimensional array out … Continue reading
Posted in Quant finance, R language
Tagged BurStFin, Ledoit-Wolf shrinkage, statistical factor model, variance estimation
9 Comments
A slice of S&P 500 kurtosis history
How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird. The original idea was of peakedness — how peaked is the distribution at the center. That’s what we can see, … Continue reading
The US market will absolutely positively definitely go up in 2012
The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for the year. If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, beat the Patriots. The birth … Continue reading
Posted in R language, Statistics
Tagged p-value, random permutation test, Super Bowl Indicator
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Review of “Models. Behaving. Badly.” by Emanuel Derman
Why confusing illusion with reality can lead to disaster, on Wall Street and in life. Note that the cover is more clever than you might at first notice. Ceci n’est pas une pipe. You might also have a guess at the reason for the punctuation in the title. Executive summary Non-quants should embrace models more, … Continue reading
Posted in Book review, Quant finance
Tagged efficient market hypothesis, efficient market model
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Positional stocks
Conspicuous consumption — buying what others can’t afford — is a disequilibriating force. Prices get raised and supply is limited. The goods that are conspicuously consumed are positional goods. A similar phenomenon occurs in the stock market. AAPL currently seems to fit the mold. Fashion changes. I don’t much believe in predictions, but I predict … Continue reading
London Quant Group and other upcoming events
London Quant Group Monday 2012 January 30 starting at 6.30pm, to be held at the offices of BlackRock, 12 Throgmorton Avenue, London. Jason MacQueen speaking on “The Structure of Equity Risk Models”. Abstract:There are a number of different ways to build equity risk models, and some are demonstrably better than others. This talk will first … Continue reading
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