May 20, 2013
Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in "Implied alpha -- almost wordless". In a comment to that post Jeff noticed that [...]
May 15, 2013
Torturing portfolios to give different volatilities between a factor model and Ledoit-Wolf shrinkage. Previously There have been posts on: "What the hell is a variance matrix?" factor models Ledoit-Wolf [...]
May 6, 2013
What's that thing about arithmetic and geometric returns and the variance? Previously An introduction to the difference between simple and log returns is: A tale of two returns Issue [...]
April 29, 2013
When investment skill is simulated, it is often presented as if it is obvious how to do it. Maybe I'm wrong, but I don't think it's obvious. Previously In [...]
April 22, 2013
Using garch to learn a little about the distribution of returns. Previously There are posts on garch -- in particular: A practical introduction to garch modeling The components garch [...]
April 15, 2013
How good is the current opportunity to pick stocks relative to the past? Idea The more stocks act differently from each other relative to how volatile they are, the [...]
April 1, 2013
How has the distribution of correlations changed over the last several years? Previously Posts about correlation boxplots explained Data Daily returns of 443 large cap US stocks from 2004 [...]
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 14, 2013
Highlighted LondonR is soon -- see the "Previously Announced" section. New Events Thirsty Quants 2013 March 21, London. Some thirsty quants will be going for a drink on the [...]
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 [...]