Quantitative Finance
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Quantitative Finance
News, Slides and various discussions about quant finance
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Méthodes non paramétriques avancées pour ajuster des lois biométriques

Méthodes non paramétriques avancées pour ajuster des lois biométriques | Quantitative Finance | Scoop.it
La récente thèse de J. Tomas intitulée Mesure des risques biométriques liés à l’assurance vie par des méthodes de lissage non-paramétriques fournit des outils performants pour régulariser des lois biométriques, notamment dans le contexte de...
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Creating xts objects from source

Creating xts objects from source | Quantitative Finance | Scoop.it
(This article was first published on Rcpp Gallery, and kindly contributed to R-bloggers)
A recent post showed how to access the attributes of an xts object.
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Using R to visually compare the volume of different information sources

Using R to visually compare the volume of different information sources | Quantitative Finance | Scoop.it
(This article was first published on SoMe Lab » r-project, and kindly contributed to R-bloggers)
A couple of weeks ago Bob wrote about a post about a research note that was recently accepted to the iConference.
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Des scénarios économiques avec R : le package ESG

Des scénarios économiques avec R : le package ESG | Quantitative Finance | Scoop.it
Le calcul de provisions best estimates pour des contrats d'épargne nécessite la mise en place d'un générateur de scénarios économiques (GSE) "risque neutre" respectant un certain nombre de contraintes minimales pour se conformer aux exigences...
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More Principal Components Fun

More Principal Components Fun | Quantitative Finance | Scoop.it
Today, I want to continue with the Principal Components theme and show how the Principal Component Analysis can be used to build portfolios that are not correlated to the market.
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Examples of Current Major Market Clusters

Examples of Current Major Market Clusters | Quantitative Finance | Scoop.it
I want to follow up and provide a bit more details to the excellent “A Visual of Current Major Market Clusters” post by David Varadi.
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High-Dimensional Microarray Data Sets in R for Machine Learning

High-Dimensional Microarray Data Sets in R for Machine Learning | Quantitative Finance | Scoop.it
(This article was first published on Category: R | John Ramey, and kindly contributed to R-bloggers)
Much of my research in machine learning is aimed at small-sample, high-dimensional bioinformatics data sets.
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When R, or any other language, is not enough

When R, or any other language, is not enough | Quantitative Finance | Scoop.it
(This article was first published on Quantum Forest » rblogs, and kindly contributed to R-bloggers) This post is tangential to R, although R has a fair share of the issues I mention here, which include research reproducibility, open source,...
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Maps in R: Introduction – Drawing the map of Europe

Maps in R: Introduction – Drawing the map of Europe | Quantitative Finance | Scoop.it
(This article was first published on Milano R net, and kindly contributed to R-bloggers) This post is a brief follow-up to a question that appeared some time ago on the “The R Project for Statistical Computing” LinkedIn group, which I’m...
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Company Valuation using Discounted Cash Flows

Company Valuation using Discounted Cash Flows | Quantitative Finance | Scoop.it
Today I want to show a simple example of how we can value a company using Discounted Cash Flow (DCF) analysis. The idea is to compute the company’s Intrinsic Value based on the discounted future cash-flows.
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Fixing non positive definite correlation matrices using R

Fixing non positive definite correlation matrices using R | Quantitative Finance | Scoop.it
(This article was first published on a modeler's tribulations, gopi goteti's web log, and kindly contributed to R-bloggers) Problem When a correlation or covariance matrix is not positive definite (i.e., in instances when some or all...
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Tips on accessing data from various sources with R

Tips on accessing data from various sources with R | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers) Jeffrey Breen (the man behind the Twitter airline sentiment analysis example) recently posted a collection of slides with some great tips for accessing...
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Two free online courses starting soon: Data Analysis (with R) and Social Network Analysis

Two free online courses starting soon: Data Analysis (with R) and Social Network Analysis | Quantitative Finance | Scoop.it

There are two online courses starting soon on Coursera, which are free to register.

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Weekend Reading – S&P 500 Visual History

Weekend Reading – S&P 500 Visual History | Quantitative Finance | Scoop.it
Michael Johnston at the ETF Database shared a very interesting post with me over the holidays. The S&P 500 Visual History – is an interactive post that shows the top 10 components in the S&P 500 each year, going back to 1980.
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Big spreadsheet mistakes - news stories

Big spreadsheet mistakes - news stories | Quantitative Finance | Scoop.it
EuSpRIG offers Risk Managers the world's only independent, authoritative & comprehensive web based information describing the current state of the art in Spreadsheet Risk Management.
Vincent Denoiseux's insight:

interesting ...

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What % Allocation to VIX Futures and Options for Portfolio Diversification?

What % Allocation to VIX Futures and Options for Portfolio Diversification? | Quantitative Finance | Scoop.it

We recently have received the following questions:

(1)   has the CBOE Volatility Index® (VIX®) recently been at relatively low levels? and  

(2)   if so, how much of an allocation might I make to VIX futures and options in order to diversify my portfolio?

In 2012 the average daily closing value of the VIX was 17.8, its lowest such value since 2007 (see Chart 1 below).  Both the VIX spot index and the VIX Jan. 2013 futures closed below 16 on all of the trading days so far this calendar year (through Jan. 14th) (see Chart 2 below for the last month’s prices that fluctuated in regard to the fiscal cliff outlook).

 
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Seasonal Trend Decomposition in R

Seasonal Trend Decomposition in R | Quantitative Finance | Scoop.it
(This article was first published on Software for Exploratory Data Analysis and Statistical Modelling » R Environment, and kindly contributed to R-bloggers) The Seasonal Trend Decomposition using Loess (STL) is an algorithm that was...
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An R wish list for 2013

An R wish list for 2013 | Quantitative Finance | Scoop.it
(This article was first published on Quantum Forest » rblogs, and kindly contributed to R-bloggers)
First go and read An R wish list for 2012. None of the wishes came through in 2012. Fix the R website?
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Clustering with selected Principal Components

Clustering with selected Principal Components | Quantitative Finance | Scoop.it
In the Visualizing Principal Components post, I looked at the Principal Components of the companies in the Dow Jones Industrial Average index over 2012. Today, I want to show how we can use Principal Components to create Clusters (i.e.
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Controlling Axes of R Plots

Controlling Axes of R Plots | Quantitative Finance | Scoop.it
(This article was first published on Carlisle Rainey » R, and kindly contributed to R-bloggers)
(This post is part of the #cumpa series of blog posts and tweets I am writing leading up to SPSA.
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Pull Yahoo Finance Key-Statistics Instantaneously Using XML and XPath in R

Pull Yahoo Finance Key-Statistics Instantaneously Using XML and XPath in R | Quantitative Finance | Scoop.it
This two-part blog post I published a day ago required key-stats from Yahoo Finance for all the companies in the control group I created for my research.  I wanted all the key-stats pulled, arranged in a data-frame and then present them side-...
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R amongst most popular languages, according to GitHub/StackOverflow data

R amongst most popular languages, according to GitHub/StackOverflow data | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers) Data Scientist Drew Conway tackles the problem of deciding which programming languages are the most popular in an interesting way: by comparing the...
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Mean-variance optimization doesn’t work: some alternatives.

Mean-variance optimization doesn’t work: some alternatives. | Quantitative Finance | Scoop.it

Mean-variance investing is all about diversification. Diversification considers assets holistically and exploits the interaction of assets with each other, rather than viewing assets in isolation. Holding a diversified portfolio allows investors to increase expected returns while reducing risks. In practice, mean-variance portfolios that constrain the mean, volatility, and correlation inputs to reduce sampling error have performed much better than unconstrained portfolios. These special cases include equal-weighted, minimum variance, and risk parity portfolios.

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