Quant Mashup - John Orford
Post-Apocalyptic Geometric Returns [John Orford]
Following up on the 'Nuke Geometric Returns' post I tried sketch out possible equations for the variance of geometric returns. I got good looking numerical answers, but the formula looked very odd. Then spent a few hours searching for the answer with Google. Thankfully Gordon at Quant
- 9 years ago, 8 Apr 2015, 03:13am -
Nuke Geometric Returns [John Orford]
When I was a kid 'Chinese Torture' was known to be extremely subtle. For example, a victim would be tied up and a drop of water would be allowed to slowly drip on someone's forehead for days until they went insane. Terrifying. Of course, actual torture in Imperial China was subtley
- 9 years ago, 5 Apr 2015, 06:39am -
Javascript & Quandl API Tutorial [John Orford]
Javascript is the future of financial analysis. Here's a quick tutorial about how to download data from Quandl and show it in the browser. I am using Chrome. Your mileage may vary with other browsers, not by much though. All the code is here. This first item on the agenda is to craft a Quandl
- 9 years ago, 2 Apr 2015, 07:14am -
Next Quarter's S&P 500 Forecast [John Orford]
Forecasting. No quant likes to do it. It's what stock analysts do, clever people are above that sort of thing. In spite of (or perhaps due to a lower IQ) here's my forecast of the S&P 500 for the next quarter. The graph shows that there's about a 10% chance of the S&P 500
- 9 years ago, 1 Apr 2015, 04:11am -
T Distribution vs S&P 500 [John Orford]
98% of the last 65 year's daily stock returns are explained by one simple formula: tinv ( dof ) * Stdev.s * [ ( dof - 2 ) / dof ] ^ 0.5 The t distribution is a wonderful thing. Plus the original paper from 'Student' himself is an easy read! Why is the t-distribution so good? My hunch
- 9 years ago, 31 Mar 2015, 08:25am -
Negative Probabilities [John Orford]
Ireland is at the center of most maps of the world. In China however, you'll find the 'middle land' exactly where every Chinese person would expect. If only Australia could shake off its colonial status once and for all and produce an 'upside down' map. The mercator
- 9 years ago, 30 Mar 2015, 04:19am -
Javascript & Finance [John Orford]
The 90's. Microsoft and Netscape are throwing features at their browsers seeing what will stick. Javascript was originally envisioned as a simple language for amateurs while the pros would develop client side Java applets. Javascript was created in 10 days! Bastardised Broken at birth (10
- 9 years ago, 27 Mar 2015, 03:16am -
Smokin' Out Good Strategies [John Orford]
My other half and I are considering moving to Beijing. The big smoke. A polluted day is the equivalent to between one sixth and 21 cigarettes per day. I don't smoke, but I'd rather a regulated cigarette than a week of breathing polluted air. Nevertheless the analogy is helpful.
- 9 years ago, 26 Mar 2015, 04:02am -
Bad Timing [John Orford]
The Sharpe of a Meb-Faber-esque Timing model over the whole of the last 10+ years has been 1.12. Of course that doesn't tell the whole story. You can see the wild swings. So there it is. A timing model whose S
- 9 years ago, 24 Mar 2015, 10:09pm -
Small Data [John Orford]
When risk analytic servers crashed I sent the newbie analyst out on a quixotic errand to get wads of pencils and notepads so we could Get bqck to work. Bringing back a grin. Pencils used to be a more serious business however. Pencils and Super Computers Feynman's autobiography describes how the
- 9 years ago, 21 Mar 2015, 12:56pm -
The Murdering Hitler Portfolio [John Orford]
Bad junk food tastes great; until the after effects kick in hours later. Similarily, flashy financial analysis will have you happily plunging money into a shiny new scheme, only noticing the stomach churning results afterwards. Let's take a look at some whizzy analysis that financial experts
- 9 years ago, 16 Mar 2015, 09:54am -