Quantocracy’s Daily Wrap for 12/22/2015

R is a powerful tool for statistics and graphics, but getting started with this language can be frustrating. This short, concise book provides beginners with a selection of how-to recipes to solve simple problems with R. Each solution gives you just what you need to know to use R for basic statistics, graphics, and regression. You'll find recipes on reading data files, creating data frames,

The rise of smart betaor more broadly, factor investinghas coincided with a 6 year period of zero interest rates. During this period, factors have been particularly ineffective relative to longer term results. Using publicly-available data (Ken French) we can explore the recent results for the most popular stock selection factors and compare them to longer-term periods of both rising and

This is part 5 of a multi-part series examining the use of market breadth indicators to judge the state of the market. For an overview of what Im doing, youd best start here so you can catch up: PART 1CLICK HERE. And oh yeah, we finally have an indicator that beats our baseline! Just coincidence that I left this one until the end? Perhaps This next market breadth indicator counts all

Through a combination of quackery, charlatanism, and inadequate utilisation of mathematics, callers for US recession in 2016 are embarrassing themselves. Again. The most prominent reason for recession calling may well be the Institute of Supply Managements Manufacturing Purchasing Manager Index. The problem with this recession forecasting methodology is that it doesnt work. Figure 1: ISM PMI

How do you rate an NBA team across a decade of play? One method is Elo, a simple measure of strength calculated by game-by-game results (Source: Nate Silvers FiveThirtyEight). A description of Elo is below: Elo ratings have a simple formula; the only inputs are the final score of each game, and where and when it was played. Teams always gain Elo points for winning. But they get more