Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, but the variance estimation functions could be of use in other applications as well. Also of general interest is threeDarr which creates a three-dimensional array out … Continue reading
Portfolio Probing
The BurStFin R package
Posted in Quant finance, R language
Tagged BurStFin, Ledoit-Wolf shrinkage, statistical factor model, variance estimation
9 Comments
A slice of S&P 500 kurtosis history
How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird. The original idea was of peakedness — how peaked is the distribution at the center. That’s what we can see, … Continue reading
The US market will absolutely positively definitely go up in 2012
The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for the year. If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, beat the Patriots. The birth … Continue reading
Posted in R language, Statistics
Tagged p-value, random permutation test, Super Bowl Indicator
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Review of “Models. Behaving. Badly.” by Emanuel Derman
Why confusing illusion with reality can lead to disaster, on Wall Street and in life. Note that the cover is more clever than you might at first notice. Ceci n’est pas une pipe. You might also have a guess at the reason for the punctuation in the title. Executive summary Non-quants should embrace models more, … Continue reading
Posted in Book review, Quant finance
Tagged efficient market hypothesis, efficient market model
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Positional stocks
Conspicuous consumption — buying what others can’t afford — is a disequilibriating force. Prices get raised and supply is limited. The goods that are conspicuously consumed are positional goods. A similar phenomenon occurs in the stock market. AAPL currently seems to fit the mold. Fashion changes. I don’t much believe in predictions, but I predict … Continue reading
London Quant Group and other upcoming events
London Quant Group Monday 2012 January 30 starting at 6.30pm, to be held at the offices of BlackRock, 12 Throgmorton Avenue, London. Jason MacQueen speaking on “The Structure of Equity Risk Models”. Abstract:There are a number of different ways to build equity risk models, and some are demonstrably better than others. This talk will first … Continue reading
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The distribution of financial returns made simple
Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily log returns in the year. … Continue reading
How to search the R-sig-finance archives
A not unusual part of a response on the R-sig-finance mailing list is: “Search the list archives.” In principle that makes sense. In practice it might not be clear what to do. Now it should be. The list The R-sig-finance mailing list deals with the intersection of questions about the R language and finance. It … Continue reading
A slice of S&P 500 skewness history
How symmetric are the returns of the S&P 500? How does the skewness change over time? Previously We looked at the predictability of kurtosis and skewness in S&P constituents. We didn’t see any predictability of skewness among the constituents. Here we look at skewness from a different angle. The data Daily log returns of the … Continue reading
