Popular posts 2012 July
Most popular posts in 2012 July A practical introduction to garch modeling A comparison of some heuristic optimization methods Random portfolios versus Monte Carlo The top 7 portfolio optimization...
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US market portrait 2012 week 32
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R The...
View ArticleA bug at Knight
Some speculation and a vision of how to make finance safer. What I know Something horrible happened Adequate testing did not occur Either there was no fire alarm for the event “hemorrhaging money” or...
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US market portrait 2012 week 33
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R The...
View ArticleHighlights of R in Finance 2012
I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website. Below is my take on the highlights (in chronological order). Peter Carl...
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US market portrait 2012 week 34
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R The...
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Another comparison of heuristic optimizers
A herd of heuristic algorithms is compared using a portfolio optimization. Previously “A comparison of some heuristic optimization methods” used two simple and tiny portfolio optimization problems to...
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US market portrait 2012 week 35
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R The...
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garch and long tails
How much does garch shorten long tails? Previously Pertinent blog posts include: “A practical introduction to garch modeling” “The distribution of financial returns made simple” “Predictability of...
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