In the Maximum Loss and Mean-Absolute Deviation risk measures, and Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) posts I started the discussion about alternative risk measures we can use to construct efficient frontier.
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Quantitative Investing
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Despite the fact that Excel is the most widespread application for data manipulation and (perhaps) analysis, R's support for the xls and xlsx file formats has left a lot to be desired.
My previous post talked about how we can employ PCA on the data for multiple stock returns to reduce the number of variables in explaining the variance of the underlying data. But the idea was greeted with skepticism by many.
I look at FE statistics in much the same way I look at psychometrics, econometrics, psychometrics, biometrics and mathematical science all disciplines outside mainstream statistics that add valuable techniques to statistical science.
Since October 2009, I have written 13 articles for the R Tutorial Series blog. The first two introduce new users to R. The remaining 11 cover a wide range ...
I received a good question from a reader: What do you think about this when measuring option...
To give you an idea of what to expect, excerpts from the new Advanced Quant guide are below. The main point I want to make is that this book covers both advanced concepts / mathematical material, and advanced problem ...
There are lots of R documents and over 3000 R packages. Which documents to start with and which R packages to use are questions faced by many people. If yo...
Is Quant Investing Taking Over Commodity Markets?
Artemis adds active fund managers to quant-only European equitiesFT AdviserThe hires come after the group's existing European Growth fund, which is managed under the firm's proprietary SmartGARP quant system, and headed by Philip Wolstencroft, has...
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The new R 2.14.0 is out! Get the source code from here.Take a look at these posts for some miscellaneous advices to make the upgrade easier.Also this thread on stackoverflow and this post contributed by Tal Galili&nbs...
In our exercise of learning modelling in R, we have till now succeeded in doing the following:Importing the dataPreparing and transforming the dataRunning a logistic regressionCreating a decision treeSpecifically, we created a decision tree using...
I look at FE statistics in much the same way I look at psychometrics, econometrics, psychometrics, biometrics and mathematical science all disciplines outside mainstream statistics that add valuable techniques to statistical science.
Investing With Options - Enhance returns. Reduce risk. Print money.
Touch Trigonometry est une application en ligne à base de JavaScript et de HTML 5 qui permet de se familiariser avec les concepts de la trigonométrie, ce qui sera certainement utile aux étudiants ou autres apprentis mathématiciens ayant besoin...
Option Pricing and Estimation of Financial Models with R Stefano Lacus (Autore), Stefano M. Iacus (Redattore) Acquista: EUR 70,60 EUR 67,06 (Visita Ultimissime novita in Economia e business l'elenco delle informazioni autorevoli sulla ...
My Simple Quant. Market analysis utilizing historical, back-tested data. Share Knowledge ---> Make Money. Tabs. Home · About · System Trades · My Trades · Performance Metrics · Disclaimer. Monday, May 30, 2011 ...
Online training provider Statistics.com has introduced a couple of new R-related courses which are well worth checking out. These are all self-paced on-lin...
Gold and Silver Volatility is OpportunityMidas LetterSeafield's dreadful private placements aside, ill-conceived financing structures and bloated option packages are not the only catalyst for a market that disconnects so thoroughly from its...
Best Quant Funds: 2011 RevivalTheStreet.comBut this year, the computers are back on track, and many quant funds rank in the top quarter of their categories.
NY Securities Financing Forum: Q&A Quant - "The long and the short of it"Data ExplorersRochester “Rocky” Cahan, VP of Deutsche Bank's Global Equity Quantitative Strategy team kicked off the Forum's hedge fund session with a presentation and Q&A...
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