FOMC Dates - Scraping Data From Web Pages
Before we can do some quant analysis, we need to get some relevant data - and the web is a good place to start. Sometimes the data can be downloaded in a standard format like .csv files or available...
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FOMC Dates - Price Data Exploration
As a first step in visualizing/exploring the data from my last post, FOMC Dates - Scraping Data From Web Pages, I’ll plot the FOMC announcement dates along with the following price series: 2-Year and...
View ArticleFOMC Dates - Full History Web Scrape
As I delve into the existing academic research regarding price patterns around US Federal Open Market Committee (FOMC) meetings, it’s clear that I will need more data than I collected in the previous...
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Update on The Pre-FOMC Announcement Drift
In the February 2015 edition of The Journal of Finance, a well known academic paper, “The Pre-FOMC Announcement Drift”, was finally published, almost 4 years after the working paper was released in the...
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FOMC Cycle Trading Strategy in Quantstrat
Another hotly anticipated FOMC meeting kicks off next week, so I thought it would be timely to highlight a less well-known working paper, “Stock Returns over the FOMC Cycle”, by Cieslak, Morse and...
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Modeling Interest Rates Meucci Style
I have signed up for Attilio Meucci’s ARPM Bootcamp next month (13-18 July 2015) in NYC http://www.symmys.com/arpm-bootcamp, and need to do quite a bit of prep as it’s going to be a deep-dive…The...
View ArticleUpdate on Attilio Meucci's The Checklist and ARPM Bootcamp / Code
Last week I organised for Attilio Meucci to give a webinar to members of CFA Singapore and NUS Risk Management Institute on an Introduction to “The Checklist” – Ten Steps for Advanced Risk and...
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mini-Meucci : Applying The Checklist - Step 1
"A journey of 1000 miles begins with a single step"Old Chinese proverb by Laozi (c. 604 BC - c. 531 BC)IntroductionIn this mini-Meucci series of posts we'll put the 10 steps of The Checklist into...
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mini-Meucci : Applying The Checklist - Step 2
"Guessing before proving! Need I remind you that it is so that all important discoveries have been made?” Henri Poincaré, French mathematician (1854-1912)In this second leg of The Checklist tour,...
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mini-Meucci : Applying The Checklist - Steps 3-5
"In the future, instead of striving to be right at a high cost, it will be more appropriate to be flexible and plural at a lower cost. If you cannot accurately predict the future then you must flexibly...
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mini-Meucci : Applying The Checklist - Steps 6-7
"There are some days when I think I'm going to die from an overdose of satisfaction." Salvador Dali, Artist (1904-1989)Today we'll be visiting 2 sites along Via Meucci, Evaluation and...
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mini-Meucci : Appplying The Checklist - Steps 8-9
"Predicting rain doesn't count. Building arks does." Warren Buffett, The Oracle of Omaha (born 1930)In this penultimate leg of the tour we'll be visiting 2 more attractions along Via Meucci,...
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mini-Meucci : Applying The Checklist - Steps 10+
In this final leg of The Checklist tour we'll be looking at the Dynamic Allocation step and touch briefly on ex-post Performance Analysis.Dynamic AllocationEssentially this involves repeating the...
View ArticleMeucci MOOC and Marathon
A quik update on what's new at Attilio Meucci's ARPM course offerngs in 2018.ARPM MOOC : a light package for self-learners: 25 hours of online instruction, split into 134 micro video lectures.ARPM...
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