Quantitative Finance
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Quantitative Finance
News, Slides and various discussions about quant finance
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Revisiting “Quant Approach to Tactical Asset Allocation”

Revisiting “Quant Approach to Tactical Asset Allocation” | Quantitative Finance | Scoop.it
Over the years, I have become friendly with Mebane Faber, co-founder and the Chief Investment Officer of Cambria Investment Management. He manages an ETF called the Cambria Global Tactical ETF (GTAA).

Back in 2007, Meb authored an excellent paper titled “A Quantitative Approach to Tactical Asset Allocation.” It was published in the Journal of Wealth Management, Spring 2007.

That analysis tested and reviewed simple timing models, using a 10-month moving average on various asset classes as a signal to enter and exit asset holdings. Compared with traditional “Buy & Hold” investing, the performance improvements across all asset classes were quite significant. The methodology has the advantage of being objective, unemotional and mechanical (fee free to insert “first wife” joke here).

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Monetary Policy & Credit Easing pt. 8: Econometrics Tests in R

Monetary Policy & Credit Easing pt. 8: Econometrics Tests in R | Quantitative Finance | Scoop.it
(This article was first published on The Dancing Economist, and kindly contributed to R-bloggers) Hello, folks its time to cover some important econometrics tests you can do in R.The Akaike information criterion is a measure of the...
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Asynchronous Financial Data processing using F#

Asynchronous Financial Data processing using F# | Quantitative Finance | Scoop.it
Hi everyone, I was looking at a book to find some algorithm to detect clusters within financial data. I managed to find a decent algorithm for that matter, but I then wanted to test it on some real data.
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An R wish list for 2012

An R wish list for 2012 | Quantitative Finance | Scoop.it
(This article was first published on Quantum Forest » rblogs, and kindly contributed to R-bloggers) I expect there will be many reviews and wish lists for R this year, with many of them focusing on either running speed or dealing with large...
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A Tool Chain for Plotting Twitter Archive Retweet Graphs – Py, R, Gephi

A Tool Chain for Plotting Twitter Archive Retweet Graphs – Py, R, Gephi | Quantitative Finance | Scoop.it
(This article was first published on OUseful.Info, the blog...
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CrossValidated: A place to post your statistics questions

CrossValidated:  A place to post your statistics questions | Quantitative Finance | Scoop.it
(This article was first published on Statistical Modeling, Causal Inference, and Social Science » R, and kindly contributed to R-bloggers) Seth Rogers writes: I [Rogers] am a member of an online community of statisticians where I burn a...
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Create maps with maptools R package

Create maps with maptools R package | Quantitative Finance | Scoop.it
(This article was first published on Statisfaction » R, and kindly contributed to R-bloggers)
Baptiste Coulmont explains on his blog how to use the R package maptools.
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Installing Rcpp on Windows 7 for R and C++ integration

Installing Rcpp on Windows 7 for R and C++ integration | Quantitative Finance | Scoop.it
(This article was first published on Consistently Infrequent » R, and kindly contributed to R-bloggers) Introduction Romain Francois presented an Rcpp solution on his blog to an old r-wiki optimisation challenge which I had also presented R...
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Multi-Asset Backtest : Rotational Trading Strategies

Multi-Asset Backtest : Rotational Trading Strategies | Quantitative Finance | Scoop.it
I want to discuss the implementation of Rotational Trading Strategies using the backtesting library in the Systematic Investor Toolbox.The Rotational Trading strategy switches investment allocations throughout the time, betting on few top ranked...
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Fitting distributions with R

Fitting distributions with R | Quantitative Finance | Scoop.it

A good starting point to learn more about distribution fitting with R is Vito Ricci's tutorial on CRAN. I also find the vignettes of the actuar and fitdistrplus package a good read. I haven't looked into the recently published Handbook of fitting statistical distributions with R, by Z. Karian and E.J. Dudewicz, but it might be worthwhile in certain cases, see Xi'An's review. A more comprehensive overview of the various R packages is given by the CRAN Task View: Probability Distributions, maintained by Christophe Dutang.

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The art of R programming

The art of R programming | Quantitative Finance | Scoop.it
(This article was first published on Research tips » R, and kindly contributed to R-bloggers)


This is a gem of a book. It will become the book I give PhD students when they are learning how to write good R code.
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Producing Google Map Embeds with R Package googleVis

Producing Google Map Embeds with R Package googleVis | Quantitative Finance | Scoop.it
(This article was first published on theBioBucket*, and kindly contributed to R-bloggers) (1) for producing html code for a Google Map with R-package googleVis do something like: library(googleVis)df <- data.frame(Address = c("Innsbruck",...
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Fitting distributions with R

Fitting distributions with R | Quantitative Finance | Scoop.it
(This article was first published on mages' blog, and kindly contributed to R-bloggers) Fitting distribution with R is something I have to do once in a while.A good starting point to learn more about distribution fitting with R is Vito...
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Were markets exceptionally volatile in 2011?

Were markets exceptionally volatile in 2011? | Quantitative Finance | Scoop.it
(This article was first published on The Average Investor's Blog » R, and kindly contributed to R-bloggers)
2011 was a volatile year, no doubt about that, but was it exceptionally so from a historic point of view?
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Functional approach to portfolio modeling

Good evening everybody, I’ve been paying attention to portfolio modelling for the past few months.
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You’ve got the whole world in your portfolio

You’ve got the whole world in your portfolio | Quantitative Finance | Scoop.it
(This article was first published on Decision Science News » R, and kindly contributed to R-bloggers) LEARN HOW TO IMPORT WORLD BANK DATA AND INVEST IN THE WHOLE WORLD Click to enlarge The market cap of the countries comprising 90% of the...
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Programming traps when using "sample"

Programming traps when using "sample" | Quantitative Finance | Scoop.it
(This article was first published on R snippets, and kindly contributed to R-bloggers)
Standard sample function works differently when it gets single element integer vector as opposed to longer vectors.
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An R function to map your Twitter Followers

An R function to map your Twitter Followers | Quantitative Finance | Scoop.it
(This article was first published on Simply Statistics, and kindly contributed to R-bloggers)
I wrote a little function to make a personalized map of who follows you or who you follow on Twitter.
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Volatility estimation and time-adjusted returns

Volatility estimation and time-adjusted returns | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
Do non-trading days explain the mystery of volatility estimation?
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Running your R and LaTeX Infrastructure from a portable USB Drive

Running your R and LaTeX Infrastructure from a portable USB Drive | Quantitative Finance | Scoop.it
(This article was first published on [R]appster, and kindly contributed to R-bloggers) On my road to eventually running all of my programs off an USB device I’ve gotten a little bit closer yesterday thanks to input from Duncan Murdoch and...
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UseR! 2011 slides are now available

UseR! 2011 slides are now available | Quantitative Finance | Scoop.it
(This article was first published on Apply R, and kindly contributed to R-bloggers)
I have just realized that UseR! 2011 presentation slides are now available from the conference web site.Unfortunately, no big surprise this year.
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From datasets to algorithms in R

From datasets to algorithms in R | Quantitative Finance | Scoop.it
Many statistical algorithms are taught and implemented in terms of linear algebra. Statistical packages often borrow heavily from optimized linear algebra libraries such as LINPACK, LAPACK, or BLAS. When implementing these algorithms in systems such as Octave or MATLAB, it is up to you to translate the data from the use case terms (factors, categories, numerical variables) into matrices.

 

In R, much of the heavy lifting is done for you through the formula interface. Formulas resemble y ~ x1 + x2 + …, and are defined in relation to a data.frame. There are a few features that make this very powerful:
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Backtesting with Short positions

Backtesting with Short positions | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers) I want to illustrate Backtesting with Short positions using an interesting strategy introduced by Woodshedder in the Simple, Long-Term...
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Alpha decay in portfolios

(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)

How does the effect of our expected returns change over time?
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C++ is dead. Long live C++

C++ is dead. Long live C++ | Quantitative Finance | Scoop.it
(This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers)

During the summer I was contacted by a hedge fund from Bahamas.
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