Beyond Stocks: The Surprising Volatility Returns of Oil and Gold

I’ve previously discussed the Volatility Risk Premium (VRP) and how it differs from the Equity Risk Premium (ERP). Probably the most interesting difference, from the perspective of the trader, is that the VRP may be somewhat amenable to timing – more than the ERP at any rate. In this article, I’ll use some of the …

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More Intuitive Joins in dplyr 1.1.0 – how to do an asof join on trades and quotes data

dplyr 1.1.0 was a significant release that makes several common data operations more syntactically intuitive. The most significant changes relate to joins and grouping/aggregating operations. In this post we’ll look at the changes to joins. First, install and load the latest version of dplyr: install.packages(“dplyr”) library(dplyr) A new approach to joins The best way to …

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How to Connect Google Colab to a Local Jupyter Runtime

Colaboratory, or Colab, is a hosted Jupyter notebook service requiring zero setup and providing free access to compute resources. It is a convenient and powerful way to share research, and we use it extensively in The Lab. What’s The Lab? The Lab is the RW Pro group’s portal for doing collaborative research together as a …

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Working with Tidy Financial Data in tidyr

Holding data in a tidy format works wonders for one’s productivity. Here we will explore the tidyr package, which is all about creating tidy data. In particular, let’s develop an understanding of the tidyr::pivot_longer and tidyr::pivot_wider functions for switching between different formats of tidy data. In this video, you’ll learn: What tidy data looks like …

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How To Get Historical S&P 500 Constituents Data For Free

spx constituents historical mean return

In this post, we are going to construct snapshots of historic S&P 500 index constituents, from freely available data on the internet. Why? Well, one of the biggest challenges in looking for opportunities amongst a broad universe of stocks is choosing what stock “universe” to look at. One approach to dealing with this is to …

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Revenge of the Stock Pickers

To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off stock indexes in a matter of weeks, unprecedented co-ordinated central bank intervention on a global scale, and an unfolding health crisis that for many has already turned into a tragedy. As an investor or trader, …

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A Vector Autoregression Trading Model

The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships and feedback loops. If you google “vector autoregression” you’ll find all sorts of academic papers related to modelling the effects of monetary and fiscal policy on various aspects of the economy. This is only of passing interest to traders. …

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The Graphical Lasso and its Financial Applications

Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published their Graphical Lasso algorithm for estimation of the sparse inverse covariance matrix. Are you suggesting that Friedman and his titans of statistical learning somehow caused the GFC by publishing their Graphical Lasso algorithm? Not at …

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