In this post we will discuss a popular class of neural networks, Artificial Feedforward Neural Network (ANN) which consists of input data, one or more hidden layers consisting of processing units and an output layer which returns the value of an estimated target value. An example of a processing unit is shown below. The processing … More Artificial Neural Network with Backpropagation Training in VBA
In this post we would like to expand on previous PCA post and show you how to build a very useful tool for scenario analysis of a yield curve. The method presented is an implementation of the main results of a paper by Leonardo M. Nogueira “Updating the Yield Curve to Analyst’s Views”. The SSRN … More Principal Component Analysis in Excel ~ PART III
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
In previous post we showed a method of how to test for statistically significant seasonality in Excel. We also mentioned that the dummy regression approach can be applied to test other hypothesis. In this post we will use a similar approach to test for statistically different returns in selected securities conditional on the global business … More Global Business Cycles and FX Returns
A favourite Bloomberg function on the sell side seems to be SEAG . This function shows seasonality for a selected security and is popular among sales desks, particularly in quiet markets. Below is an example of the function for EURUSD 1year ATM volatility over the past 10 years. It is apparent that January tends to … More Testing for Seasonality In Excel
Today’s post is a second in a planned series about the use of Principal Component Analysis (PCA) to manage risk and trade. In a previous post we tried to provide an intuitive explanation behind the method and a way to implement PCA in excel using a free addin. Today we want to show a PCA … More Principal Component Analysis ~ PART II
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