March 19, 2012
The subtitle is "Central banks, credit bubbles and the efficient market fallacy". Executive summary This is much too important of a book to remain as obscure as it is. [...]
March 12, 2012
A bit of testing of the estimation of the variance matrix for S&P 500 stocks in 2011. Previously There was a plot in "Realized efficient frontiers" showing the realized [...]
March 5, 2012
How wide is the darkness? Uses of models The main way models are used is to: shine light on the "truth" We create and use a model to learn [...]
February 29, 2012
2011 was a good vintage for minimum variance, at least among stocks in the S&P 500. Previously The post "Realized efficient frontiers" included, of course, a minimum variance portfolio. [...]
February 27, 2012
A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant. I've made fun of it before. This post explores [...]
February 20, 2012
We know the words but what do they mean? Some definitions Here are some definitions of "passive investment management". Investopedia says: A style of management associated with mutual and [...]
February 16, 2012
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, [...]
February 13, 2012
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 [...]
February 6, 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" [...]
January 23, 2012
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 [...]