Often financial analysts are presented with statistical charts that purport to demonstrate an important — and, of course, investable — relationship between data points. These charts are supposed to be worth a thousand words and thousands of shares traded. But invariably these charts do not have an r-squared for the data displayed, or any other descriptive statistical data; just the seductive image. Read more
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23 Posts
Kent Osband offers that the mathematics of turbulence provides a mathematical framework for bridging modern portfolio theory’s rationalism with behavioral finance’s irrationalism. Read more
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Global housing prices remain a popular indicator of economic activity. But overall, recovery in global housing markets seems mixed. Read more
Leave a CommentAfter the Great Recession, some quantitative finance watchers stated that the discipline wass dead. Yet, some practitioners, such as Attilio Meucci, are evolving new ways for coping with the real world’s complexities. Read more
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What do quant great Edward O. Thorp, behavioralist Jamies Montier, and value investing legends, Benjamin Graham and Warren Buffett, have in common? These investment practitioners all make a seemingly incongruous appearance together in Quantitative Value, a new book by Wesley Gray and Tobias Carlisle. Read more
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This post uses long time scales of the S&P 500 as a test case for discussing the major tenets of rescaled range analysis, a favorite technique of fractal market analysis, chaos theoreticians, and some technical analysts. Read more
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Editor’s note: Thanks to the diligence of Armin Grueneich this post has been amended to reflect the addition of step #5, below, in the calculation of the rescaled range. Rescaled range analysis is a statistical technique designed to assess the nature and magnitude … Read more
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With all of the variables in play, practitioners can be easily led astray when interpreting the results of time-series studies. A recent controversial paper on the relative economic value of tax cuts, provides an excellent example of why analysts must be alert to the challenges of multiple regression with time-series variables. Read more
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Which influential investors should diligent equity investors follow? Should you be following anybody? Read more
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Our ten most-popular articles from the past year include coverage of the ever-unfolding European sovereign debt crisis, how the election cycle affects the markets, and Warren Buffett’s secret sauce. Read more
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