March 17, 2013
How variable are garch predictions? Previously There have been several posts on garch, in particular: A practical introduction to garch modeling The components garch model in the rugarch package [...]
March 5, 2013
What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of "The top 7 portfolio optimization problems" is that correlations spike during [...]
February 25, 2013
Exploring the quality of predictions using random portfolios and optimization. Previously "Simple tests of predicted returns" showed a few ways to look at expected returns at the asset level. [...]
February 18, 2013
Some ways to explore how good a method of predicting returns is. Data and model The universe is 443 large cap US stocks that have data back to the [...]
February 11, 2013
A prediction of a portfolio's volatility is an estimate -- how variable is that estimate? Data The universe is 453 large cap US stocks. The variance matrices are estimated [...]
January 28, 2013
How to fit and use the components model. Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series Variance [...]
January 21, 2013
An exploration of the usefulness of sectors. Previously This subject was discussed in "S&P 500 sector strengths". Idea Stocks are put into groups based on the sector that the [...]
January 7, 2013
Calibrations of 2013 predictions for 18 equity indices -- plus some publicly available predictions. Orientation The distributions are an attempt to see the variability if there were no market-driving [...]
December 24, 2012
An explanation of quartiles, quintiles deciles, and boxplots. Previously "Again with variability of long-short decile tests" and its predecessor discusses using deciles but doesn't say what they are. The [...]
December 10, 2012
The Imperial College Algorithmic Trading Conference was Saturday. Talks Massoud Mussavian Massoud gave a great talk on "Algo Evolution". It started with a historical review of how trading used [...]