Monthly Archives: October 2012

S&P 500 correlations up to date

I haven’t heard much about correlation lately.  I was curious about what it’s been doing. Data The dataset is daily log returns on 464 large cap US stocks from the start of 2006 to 2012 October 5. The sector data were taken from Wikipedia. The correlation calculated here is the mean correlation of stocks among … Continue reading

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US market portrait 2012 week 41

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 September

Most popular posts in 2012 September A look at Bayesian statistics Horses and volatility A practical introduction to garch modeling Review of “Numerical Methods and Optimization in Finance” by Gilli, Maringer and Schumann Not fooled by randomness A comparison of some heuristic optimization methods A tale of two returns (posted in 2010) Variability of garch … Continue reading

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How to add a benchmark to a variance matrix

There is a good way and a bad way to add a benchmark to a variance matrix that will be used for optimization and similar operations.  Our examination sheds a little light on the process of variance matrix estimation in this realm. Role of benchmarks Investing Benchmarks are common in investment management.  It’s my opinion … Continue reading

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