Publications by From Guinness to GARCH
Measuring the Intensity of Historical Crises with VaR
Adam Duncan, December 2012Also avilable on R-bloggers.com Prelude These posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written in a “walkthrough” style. All...
7068 sym R (7406 sym/15 pcs) 12 img
Measuring the Intensity of Historical Crises with VaR (Part 2)
Adam Duncan, December 2012Also avilable on R-bloggers.com If you missed the first part of this analysis, be sure to check it out on gtog.github.com.In this part of the analyis, I’m going to look at the actual 1 day negative returns / VaR estimates (“VaR breaks”) across a numnber of different asset classes. The hope is to arrive at some gene...
3490 sym R (3875 sym/12 pcs) 16 img
Volatility Regimes: Part 1
This is a ‘do over’ of a project I started while at my former employer in the fall of 2012. I presented part 1 of this framework at the FX Invest West Coast conference on September 11, 2012. I have made some changes and expanded the analysis since then. Part 2 is complete and will follow this post in the week or so. Adam Duncan September, 201...
12057 sym Python (1407 sym/4 pcs) 14 img
Volatility Regimes: Part 2
Adam Duncan from January, 2013Also avilable on R-bloggers.com Strategy Implications In this part of the volatility regimes analysis, we’ll use the regime identification framework established in part 1 to draw conclusions about which strategies work best is each regime. That should prove useful to us and goes a long way to answering the question...
9747 sym R (3189 sym/5 pcs) 12 img
Creating Jekyll blog posts from R.
Adam Duncan Also avilable on R-bloggers.com Setting up a Jekyll/Jekyll Bootstrap blog site is a very worthwhile experience. Should you choose to use Jekyll as your blogging platform, you will find many resources out there describing the setup process. This post is not about getting set up using Jekyll or Jekyll Bootstrap. It’s about establishin...
3478 sym R (407 sym/1 pcs) 2 img
Monitoring an ETF Portfolio in R
Adam Duncan Also avilable on R-bloggers.com Some time ago, I read an interesting article about an interview with David Swensen, the renownd money manager from Yale University’s investment office. He’s quite famous and is considered by many to be the architect of the modern “endowment portfolio.” The point of the article was to suggest a w...
4844 sym R (8745 sym/15 pcs) 20 img 1 tbl