Category Archives: R language
A view of useR!2011
Start Brian Ripley The conference was opened with a talk by Brian Ripley. I’ll distort his talk into 3 points that came across to me. 1. R Core is finite The time available from R Core members is a strictly limited good. The more that is pushed onto R Core, the less attention to details. … Continue reading
Statistical construction error
Yes, the title is meant to have two readings. The effect The Numbers Guy, among other examples, talks about the UK Office for National Statistics needing to revise its estimate for the construction sector output because of an error. Original: 2.3% growth Corrected: 0.5% growth Here is the Telegraph article cited by The Numbers Guy. … Continue reading
The indices understate the carnage
The first 6 trading days of August have been bad for the major indices, but how variable is that across portfolios? To answer that, two sets of random portfolios were generated from the constituents of the S&P 500. The trading days are 2011 August 1 — 5 and 8. The returns of the indices for … Continue reading
More S&P 500 correlation
Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations. However, it is possible to see more of the distribution than just the mean. Figures 1 and 2 show several quantiles: 10%, 25%, 50%, 75%, 90%. Figure 1: Quantiles of 50-day rolling correlation of … Continue reading
Posted in Quant finance, R language
Tagged correlations, equity correlations, jackknife, S&P 500, stock correlations
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Registration closing for UseR! 2011
Friday July 22 is the last day on which you can register for UseR! 2011 at the University of Warwick. The conference will be 2011 August 16-18. You can peruse the book of abstracts and view the draft schedule. I am scheduled to give a talk on “Random input testing with R”. The abstract is: … Continue reading
On “Stock correlation has been rising”
Ticker Sense posted about the mean correlation of the S&P 500. The plot there — similar to Figure 1 — shows that correlation has been on the rise after a low in February. Figure 1: Mean 50-day rolling correlation of S&P 500 constituents to the index. For me, this post raised a whole lot more … Continue reading
Posted in Quant finance, R language
Tagged correlations, equity correlations, S&P 500, stock correlations
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Testing an S&P 500 prediction
If a particular prediction comes true, how surprised should we be? The prediction The page that sparked my curiosity tells of a prediction made a year ago that the S&P 500 would beat its historic high by the end of 2011. It says that at the point the prediction was made, the level of the … Continue reading
Winsorization
Winsorization replaces extreme data values with less extreme values. But why Extreme values sometimes have a big effect on statistical operations. That effect is not necessarily a good effect. One approach to the problem is to change the statistical operation — this is the field of robust statistics. An alternative solution is to just change … Continue reading
Talking The R Journal latest release
Volume 3/1 of The R Journal has been released. It of course has articles about using R. In addition it has a feature that I highly support. In preparation for the UseR! Conference 2011 August 16-18 in Coventry there are two Help Desk articles on making a good technical presentation. Technical presentation Rob Hyndman writes … Continue reading
Performance ratios, bootstrapping and infinite variances
If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading
Posted in Performance, R language
Tagged infinite variance, information ratio, qqplot, statistical bootstrap
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