August 22, 2011
Start Brian Ripley The conference was opened with a talk by Brian Ripley. I'll distort his talk into 3 points that came across to me. 1. R Core is [...]
August 20, 2011
Yes, the title is meant to have two readings. The effect The Numbers Guy, among other examples, talks about the UK Office for National Statistics needing to revise its [...]
August 9, 2011
The first 6 trading days of August have been bad for the major indices, but how variable is that across portfolios? To answer that, two sets of random portfolios [...]
July 28, 2011
Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations. However, it is possible to see more of [...]
July 18, 2011
Friday July 22 is the last day on which you can register for UseR! 2011 at the University of Warwick. The conference will be 2011 August 16-18. You can [...]
July 18, 2011
Ticker Sense posted about the mean correlation of the S&P 500. The plot there -- similar to Figure 1 -- shows that correlation has been on the rise after [...]
July 11, 2011
If a particular prediction comes true, how surprised should we be? The prediction The page that sparked my curiosity tells of a prediction made a year ago that the [...]
June 30, 2011
Winsorization replaces extreme data values with less extreme values. But why Extreme values sometimes have a big effect on statistical operations. That effect is not necessarily a good effect. [...]
June 24, 2011
Volume 3/1 of The R Journal has been released. It of course has articles about using R. In addition it has a feature that I highly support. In preparation [...]
June 19, 2011
If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: "How [...]