In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models, however, I strongly recommend Introductory Time Series with R, which I find is a perfect combination between light ... [Read more...]

I have just got back from the 24 hour Data Science Global Hackathon; I was an on-site participant at Hub Westminster in London (thanks to Carlos and his team for doing such a great job looking after us all {around 50 turned up from the 100 who registered; the percentage was similar in ... [Read more...]

50 days ago (here), I was supposed to be very optimistic about the probability that I could reach a million viewed pages on that blog (over a bit more than two years). Unfortunately, the wind has changed and today, the probability is quite low... ... [Read more...]

I received recently a comment by FCA (here) who raised an important question, about forecast in dynamic mortality models. (S)he mentioned that from his(her) point of view, the econometric models I considered were "good to predict for the next, say,... [Read more...]

In the previous post (here) discussing forecasts of actuarial quantities, I did not mention much how to forecast the temporal component in the Lee-Carter model. Actually, many things can be done. Consider here some exponential smoothing techniques ... [Read more...]

50 days ago, I published a post, here, on forecasting techniques. I was wondering what could be the probability to have, by the end of this year, one million pages viewed (from Google Analytics) on this blog. Well, initially, it was on my blog at t... [Read more...]