Inefficiency of markets with negative prices?
In this post, I briefly describe the event of negative prices market which occured on the NYMEX WTI crude oil May contract
Event …
Multivariate break test
In this tutorial, I explain how to implement, in a flexible way, the algorithm of Bai, Lumsdaine, and Stock (1998).
Step 1: Lag …
Security Exchange Commission: web browsing emulation and natural language processing
In this tutorial, I explain how to emulate navigation on the SEC website, perform bulk downloads of forms (e.g. 10-K forms) and extract …
Incremental efficient frontier
In this tutorial, I quickly describe how to compute and update an efficient frontier in adding stocks to an existing porfolio with R. …