Today we wanted to show a quick and easy implementation of event analysis in excel. The literature on this topic is large with most of the research concentrating on the stock market. Event analysis research attempts to test for excess returns on stocks which announce stock split, surprise on their earnings announcement, or stock response … More Event Analysis in Excel/VBA
A very useful approach to analyzing price action of a particular security is to search historical instances where price exhibited similar behaviour. This type of analysis has often been called historical analogs by some writers. Below we will show a simple example that is easy to implement in excel. The aim is to select a … More Historical Analogs/ Time Series Clustering in Excel
In its most recent statement the FOMC stated “Inflation is anticipated to remain near its recent low level in the near term, but the Committee expects inflation to rise gradually toward 2 percent over the medium term as the labor market improves further and the transitory effects of earlier declines in energy and import prices … More On Inflation
In our previous post we showed a simplistic implementation of a logistic regression model in excel. In practice we need to be able to estimate a multivariate version of the model and also asses the quality of the model calibration. All the requirements make a spreadsheet implementation impractical and we need to rely on VBA. … More Logistic Regression in VBA
A logit model is a type of a binary choice model. We use a logistic equation to assign a probability to an event. We define a logistic cumulative density function as: which is equivalent to Another property of the logistic function is that: The first derivative of the logistic function, which we will need when … More Logistic Regression in Excel
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