[Read more...]

Guiding a ship, it takes more than your skill Spark David Rowe’s Risk column this month is about data leverage. The idea is that you are leveraging your data if you are using it to answer questions that are too demanding of information. The piece reminded me of a ... [Read more...]

I’m trying to make a mobile version of R-GUI, here is one (trying with iPhone emulator), not so beautiful, but still work. Try at CloudStat Mobile. Below are the screenshots: Homepage Web-based R Console Statistical Apps Directory ( R Apps ) ... [Read more...]

How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios — the so-called low vol cohorts — as of 2007 and showed their performance up to about a month ago. “Rebalancing the low vol cohorts” looked ... [Read more...]

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896.  This was when computers were humans with adding machines (but they did do parallel processing).  At that point boiling “the market” down to ... [Read more...]

This is a simple apps, called “Draw Your Breast with R“  created with R to generate Breast alike graphics. With this Draw Your Breast with R apps, you can change 4 parameters which are Theta, Phi, Expand and Color to generate graphics like... [Read more...]

The missing link between beta and volatility is correlation. Previously “4 and a half myths about beta in finance” attempted to dislodge several myths about beta, including that beta is about volatility. “Low (and high) volatility strategy effects” showed a plot of beta versus volatility for stocks in the S&P 500 ... [Read more...]

At work, the client requested, if existing search engine could accept singular and plural forms equally, e. g. “partner” and “partners” would lead to the same result. The first option – stemming. In that case, search engine would use root of a word, e. g. “partn”. However, stemming has many weaknesses: ... [Read more...]

Does minimum variance act differently from low volatility?  Do either of them act like low beta?  What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing.  Here we look not at a single portfolio of a ... [Read more...]

The subtitle is “Central banks, credit bubbles and the efficient market fallacy”. Executive summary This is much too important of a book to remain as obscure as it is.  Besides, it is quite a fun read. It talks about two subjects: Why markets for goods and services tend toward equilibrium ... [Read more...]

A bit of testing of the estimation of the variance matrix for S&P 500 stocks in 2011. Previously There was a plot in “Realized efficient frontiers” showing the realized volatility in 2011 versus a prediction of volatility at the beginning of the year for a set of random portfolios.  A reader commented ... [Read more...]

How wide is the darkness? Uses of models The main way models are used is to: shine light on the “truth” We create and use a model to learn how some part of the world works. But there is a another use of models that is unfortunately rare — a use ... [Read more...]

In the previous post I shared an example how to get high frequency data from IB broker (well, it is retail version of HFD – it has only best bid/ask and the trades). Now, once you saved some data – what should you do next? Next logical step would be data ... [Read more...]

2011 was a good vintage for minimum variance, at least among stocks in the S&P 500. Previously The post “Realized efficient frontiers” included, of course, a minimum variance portfolio.  That portfolio seemed interesting enough to explore some more. “What does ‘passive investing’ really mean” suggests that minimum variance should be considered ... [Read more...]

People voice about Lynas Malaysia through Twitter Analysis with R CloudStat: CloudStat Analysis: This is a twitter analysis report for “Lynas” from 21 till 28 February 2012, generated by CloudStat Twitter Application. Lynas was a hot topic, espec... [Read more...]

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 ... [Read more...]

Since Lynas Malaysia Corporation, Australia Rare Earth Refiner Granted Malaysia License, it is always a very hot topic. This can be proven through the daily tweets across recent 7 days. This chart was built by Tweets Keyword Trending Application @... [Read more...]

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 ... [Read more...]

Today is Lithuania’s independence day and I have created R user group in Lithuania – VilniusR. If you are near by please follow the link, sign up and I hope that we will have a meeting soon. [Read more...]

[Read more...]