Quantitative Investing

(This article was first published on Wiekvoet, and kindly contributed to R-bloggers)
I expect to be getting some ordinal data, from 5 or 9 point rating scales, pretty soon, so I am having a look ahead how to treat those.

(This article was first published on Statisfaction » R, and kindly contributed to R-bloggers) Hi, I presented today at INSEE R user group (FLR) how to use knitr (Sweave evolution) for writing documents which are self contained with respect...

(This article was first published on rbresearch » R, and kindly contributed to R-bloggers)
The folks at Rstudio have done some amazing work with the shiny package.

(This article was first published on Shifting sands, and kindly contributed to R-bloggers)
We have been looking at a way to improve risk adjusted returns by using a volatility filter.

(This article was first published on rbresearch » R, and kindly contributed to R-bloggers)
The past few posts on momentum with R focused on a relatively simple way to backtest momentum strategies.

(This article was first published on Statistically Significant, and kindly contributed to R-bloggers) A lot of times we are given a data set in Excel format and we want to run a quick analysis using R's functionality to look at advanced...

Today, I want to continue with clustering theme and show how the portfolio weights are determined in the Cluster Portfolio Allocation method. One example of the Cluster Portfolio Allocation method is Cluster Risk Parity (Varadi, Kapler, 2012).

(This article was first published on factbased, and kindly contributed to R-bloggers)
Last year I took a free online class on finance by Gautam Kaul. I recommend it, although there are other classes I can not compare it to.

Maximum Sharpe Portfolio or Tangency Portfolio is a portfolio on the efficient frontier at the point where line drawn from the point (0, risk-free rate) is tangent to the efficient frontier.

(This article was first published on Shifting sands, and kindly contributed to R-bloggers)
I wanted to revisit using some sort of volatility filter for systematic trading.

(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
What effect do predicted correlations have when optimizing trades?

(This article was first published on Statistical Research » R, and kindly contributed to R-bloggers)
This is a repost of the second part of an example that I posted last year but at the time I only had the PDF document (written in ).

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) I like the results of the analysis shown in my post Applying Tradeblotter’s Nice Work Across Manager Rather than Time, but I was not satisfied that...

(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers)
In the past, I wrote about robust regression. This is an important tool which handles outliers in the data.

(This article was first published on Maximize Productivity with Industrial Engineer and Operations Research Tools, and kindly contributed to R-bloggers) A great interview on the Simply Statistics blog with Google's Nick Chamandy, Phd in...