Publications by klr
Not Much of a Grand Finale. What if We Go To 0?
When I ask the question “What if the US 10 year goes to 0?”, most do not know the effect, the catalyst, or if 0 has ever happened before. The math is fairly simple to do in Excel or with an old-school calculator, but let’s use RQuantLib to do the pricing and then use LatticeExtra with some slight adjustment in SVG. RQuantLib spits out a...
2169 sym 12 img 5 tbl
Life on the Big International Frontier
Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) “Size, Value, and Momentum in International Stock Returns”, Critical Finance Review To rectify this home bias, let’s generate some ef...
1039 sym 4 img 1 tbl
Japanese Government Bond (JGB) Data Since 1974
The Ministry of Finance Japan very generously provides data on JGBs back to 1974. Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste): Related To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio. R-bloggers.com of...
588 sym 4 img 1 tbl
Resurrect Posts on Japan and the Yen
As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites. Japan Trade by Geographic RegionJapanese Trade and the YenJapan Intentional or Accidental Pursuit of DeflationJapan Trade More Specifically with Korea Just to add a chart, he...
2065 sym 4 img 1 tbl
Cash–Opportunity Lost or Opportunity Gained
Tom Brakke from http://researchpuzzle.com/ wrote a great thought piece Cash as Trash, Cash as King, and Cash as a Weapon for the CFA Institute blog. My favorite part comes in the last paragraph: “That’s the kind of analysis that should be brought to the discussion of cash, not simple sayings that bounce back and forth in response to the mo...
2276 sym 6 img 2 tbl
Unbelievable and Amazing R Shiny–Web Parameter Test in 1.5 Hours
Life keeps getting better and better. Yesterday, I discovered the absolutely unbelievable and amazing work RStudio has done with Shiny employing one of my favorite R packages websockets. As proof of the ease and quality, within a couple of minutes, I was able to get it up and running. This morning basically starting from scratch in less tha...
1109 sym 2 img
Drawdown Determined Position Size
This caught my eye as I searched for some more academic research on my favorite risk measure drawdown. Yang, Z. George and Zhong, Liang,Optimal Portfolio Strategy to Control Maximum Drawdown – The Case of Risk Based Dynamic Asset Allocation (February 25, 2012).Available at SSRN: http://ssrn.com/abstract=2053854 orhttp://dx.doi.org/10.2139/ssrn...
2293 sym 4 img 1 tbl
Apple Compared to Others with ggthemes
For a happy person delightfully concentrated in Apple, I wanted to show Apple’s performance versus Microsoft and Cisco in decades 1(1990-2000) and 2 (2000-2012). I thought this would give me a good chance to try out the very interesting work being done at https://github.com/jrnold/ggthemes. From TimelyPortfolio Just as a reference, my ge...
1252 sym 6 img 2 tbl
d3 and r interacting through shiny
I was amazed and delighted by the Reconstruct Gene Networks Using Shiny. Jeff accomplished what I knew was possible but had absolutely no idea how to implement. With the boost, I went to work combining his d3 force layout with my d3 experiments discussed in Hi R and Axys, I’m d3.js “Nice to Meet You” (On the Iphone). Unfortunately, I ...
913 sym 2 img
d3 Showreel Combined with R and Shiny
Since the d3 portion of the example provide in my last post d3 and r interacting through shiny was so weak, I thought it would be interesting to combine the much more compelling Showreel Example with the same stock data. However, this time the data will come from R getSymbols. Also, most of the plots would be better using cumulative return da...
1124 sym 2 img