Quantitative Investing

(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
More risk does not necessarily mean bigger Value at Risk.

(This article was first published on Revolutions, and kindly contributed to R-bloggers) In a recent talk to the DC R User Group, Anthony Damico presented the following handy flowchart for learning to do survey analysis with R (actually,...

It would appear that the sell-side is in a full-court-press to convince the world that the levitation of nominal equity prices is indeed the start of something new and secular - as opposed to the inevitable consequence of global monetary...

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

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.

(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...

(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?

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.

(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.

Today, I want to demonstrate how easy it is to create a seasonality analysis study and produce a sample summary report. As an example study, I will use S&P Annual Performance After a Big January post by Avondale Asset Management.

(This article was first published on The Data Monkey, and kindly contributed to R-bloggers) Another site pops up with open code for analyzing public survey data: http://www.asdfree.com/ It will be interesting to see whether this gets used...

(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.

(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.

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.

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.

(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.

(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,...

(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...