An appreciation of Cover’s universal portfolio in Python
I have a new theoretical finance note up: an appreciation of Cover’s universal portfolio in Python.
Returning to Tides
Fred Viole shared a great “data only” R solution to the forecasting tides problem. The methodology comes from a finance perspective, and has some great associated notes and articles. This gives me a chance to comment on the odd relation between prediction and profit in finance.
Using geom_step
geom_step is an interesting geom supplied by the R package ggplot2. It is an appropriate rendering option for financial market data and we will show how and why to use it in this article.
What is a good Sharpe ratio?
We have previously written that we like the investment performance summary called the Sharpe ratio (though it does have some limits). What the Sharpe ratio does is: give you a dimensionless score to compare similar investments that may vary both in riskiness and returns without needing to know the investor’s […]
Relative returns: a banker versus trader paradox
Quick Joke. Q: What is the difference between a banker and a trader? A: A banker will try and tell you a 10% loss followed by a 10% gain is breaking even.
Thievery considered harmful
A bit of a tempest in finance news involving accusations of sensitive code stolen from a major trading desk. For emerging details see: Special Agent Michael G. McSwain’s charges Mathew Goldstein’s Reuters article Zero Hedge blog entry
A Quick Appreciation of the Sharpe Ratio
The current state of the global financial markets has gotten more people than usual worrying about the technical aspects of finance. One method for reasoning about investment returns and risk is a tool called the Sharpe Ratio. It is well worth reviewing this measure and seeing how, if used properly, […]