Monthly Archives: August 2012

garch and long tails

How much does garch shorten long tails? Previously Pertinent blog posts include: “A practical introduction to garch modeling” “The distribution of financial returns made simple” “Predictability of kurtosis and skewness in S&P constituents” Induced tails Part of the reason that the distributions of returns have long tails is because of volatility clustering.  It’s not really … Continue reading

Posted in Quant finance, R language | Tagged , , | 3 Comments

US market portrait 2012 week 35

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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Another comparison of heuristic optimizers

A herd of heuristic algorithms is compared using a portfolio optimization. Previously “A comparison of some heuristic optimization methods” used two simple and tiny portfolio optimization problems to compare a number of optimization functions in the R language. This post expands upon that by using a portfolio optimization problem that is of a realistic size … Continue reading

Posted in optimization, R language | Tagged , , , | 3 Comments

US market portrait 2012 week 34

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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Highlights of R in Finance 2012

I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website. Below is my take on the highlights (in chronological order). Peter Carl and Brian Peterson “Constructing Strategic Hedge Fund Portfolios” is wonderful from my perspective.  Promoting random portfolios is sure to win my heart.  … Continue reading

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US market portrait 2012 week 33

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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A bug at Knight

Some speculation and a vision of how to make finance safer. What I know Something horrible happened Adequate testing did not occur Either there was no fire alarm for the event “hemorrhaging money” or the fire brigade was asleep Regarding the last point, the New York Times reports — essentially — that there was no … Continue reading

Posted in Risk | 6 Comments

US market portrait 2012 week 32

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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Popular posts 2012 July

Most popular posts in 2012 July A practical introduction to garch modeling A comparison of some heuristic optimization methods Random portfolios versus Monte Carlo The top 7 portfolio optimization problems A tale of two returns (posted in 2010) 2 dimensions of portfolio diversity Alpha alignment R Inferno-ism: order is not rank Market predictions for years … Continue reading

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