Tag Archives: interquartile range
Miles of iles
An explanation of quartiles, quintiles deciles, and boxplots. Previously “Again with variability of long-short decile tests” and its predecessor discusses using deciles but doesn’t say what they are. The *iles These are concepts that have to do with approximately equally sized groups created from sorted data. There are 4 groups with quartiles, 5 with quintiles … Continue reading
Posted in Quant finance, R language
Tagged boxplot, decile, interquartile range, IQR, quartile, quintile
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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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