When I saw the answer to this Stack Overflow question, I immediately remembered working on my old post Clustering with Currencies and Fidelity Funds and just had to try to apply this technique.  As I should have guessed, it worked with only a mini...

Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...

Great news came yesterday with the release of the R In Finance 2011 Presentations.  I must attend next year after seeing all that I missed.  The Iacus: Statistical Analysis of Financial Time Series and Option Pricing in R (pdf) presentation o...

After the very nice Convore reply @timelyportfolio some of your posts include "eigenvalue ratio plots" -- kindly tell us what they show and how they might be useful in constructing a portfolio. I felt like I should at least attempt to offer a little m...