May 29, 2016
When I announced R in Finance 2016 I talked about 2 days of conference and 50 speakers. I missed out the 3 days of sleep deprivation. But a pleasant [...]
April 16, 2016
Highlighted R in Finance 2016 May 20-21, Chicago. 2 days, limited space, 50 speakers, including: Pat Burns on "Some Linguistics of Quantitative Finance" Abstract: How can the abstract be written [...]
September 21, 2014
Conference The first EARL Conference (Effective Applications of the R Language) was held 2014 September 15-17 in London. Talk My talk was "Effective risk management with R" (annotated slides). [...]
July 28, 2014
Highlighted EARL As in "Effective Applications of the R Language". 2014 September 15-17, London. Somehow they gave higher billing to Ben Goldacre than to Pat Burns. If Obama were [...]
March 16, 2014
More efficiency and an additional function in the new version on CRAN. Variance estimation The major functionality in the package is variance estimation: Ledoit-Wolf shrinkage via var.shrink.eqcor statistical factor [...]
February 9, 2014
A data analysis surprise party. Simple question If I have correlation matrices each estimated with a month of daily returns, how much worse is the average of six of [...]
January 19, 2014
Some facts and some speculation. Definition Volatility is the annualized standard deviation of returns -- it is often expressed in percent. A volatility of 20 means that there is [...]
January 13, 2014
An attempt to clarify the basics. Previously There have been several posts about garch. In particular: A practical introduction to garch modeling The components garch model in the rugarch [...]
January 6, 2014
The S&P 500 returned 29.6% in 2013. How might that have varied? S&P weights There are many features that could vary -- here we will keep the same constituents [...]
December 30, 2013
Highlights of the blog over the past year. Most popular posts The posts with the most hits during the year. A practical introduction to garch modeling (posted in 2012) A [...]