Recently there’s been increased chatter about possible US recession and trouble brewing in the credit markets. I linked below to a typical article out of FT on economists’ assigning a 20% chance of a recession in US. Now I don’t want to dismiss the weak data that is coming out of the US and fully … More On US IG Credit Spreads
I have spent a month running around Toronto and Tokyo so did not get a chance to post earlier on the nasty PMI print coming out of US but decided to comment at this time so I can tie to my earlier post on ridge regression modeling. There is not much positive to say about … More On US PMI
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
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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