R language

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 [...]

A simpler approach to producing the variability. Previously The post "Variability in long-short decile strategy tests" proposed a way of assessing the variability of strategy tests in which a [...]

How to capture return variability when testing strategies with long-short deciles. Traditional practice Question: Does variable X have predictive power for our universe of assets? A common scheme of [...]

Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007.  It invests in S&P 500 stocks and starts the year with a value of [...]

New Events  Thalesians (London) 2012 November 21: Isabel Ehrlich on "Basket Options with Smile". Abstract: Due to the distinct lack of models for basket options that remain consistent with [...]

An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously "The basics of Value at Risk and Expected Shortfall" provides [...]

Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of [...]

When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix [...]

Should you use daily or monthly returns to estimate volatility? Does garch explain why volatility estimated with daily data tends to be bigger than if it is estimated with [...]

Value at Risk and Expected Shortfall are common risk measures.  Here is a quick explanation. Ingredients The first two ingredients are each a number: The time horizon -- how [...]