Data science

Statistically speaking

May 16, 2019 | OSM

In our last post, we defined the goal of an investment strategy, showed how comparing strategies may not be as straightforward as one would imagine, and outlined some critical questions that need to be answered when weighing competing strategies. In...
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Stocks for some run

May 10, 2019 | OSM

Motivation This string of posts is meant to help non-professional investors understand some of the complexities involved in choosing an investment strategy, suggest a logical framework on how to do just that, and offer different ways to analyze the data that motivate the strategies we’ll examine. Strategies for the ...
[...Read more...]

Stocks for some run

May 10, 2019 | OSM

Motivation This string of posts is meant to help non-professional investors understand some of the complexities involved in choosing an investment strategy, suggest a logical framework on how to do just that, and offer different ways to analyze the data that motivate the strategies we’ll examine. Strategies for the ...
[...Read more...]

What do machines know about the yield curve?

May 3, 2019 | OSM

A recession a year from now? As we saw in the last post, when we run a model with a 6-month look forward, it does a fairly reasonable job in predicting a recession, assuming we use a threshold closer to recession base rate. In this post, we look...
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What do machines know about the yield curve?

May 3, 2019 | OSM

A recession a year from now? As we saw in the last post, when we run a model with a 6-month look forward, it does a fairly reasonable job in predicting a recession, assuming we use a threshold closer to recession base rate. In this post, we look...
[...Read more...]

Yield curve predictions twist my noodle

April 18, 2019 | OSM

Where did we go wrong? Not another model! As we saw in the last post, one iteration of the yield curve – the spread between 10-year and 3-month Treasuries – doesn’t generate a great model of recession probabilities. Part of this is that recessio...
[...Read more...]

Yield curve predictions twist my noodle

April 18, 2019 | OSM

Where did we go wrong? Not another model! As we saw in the last post, one iteration of the yield curve – the spread between 10-year and 3-month Treasuries – doesn’t generate a great model of recession probabilities. Part of this is that recessio...
[...Read more...]
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