Blog Posts by Andrew B. Collier / @datawookie

Asset Allocation

A farmer, his sheep and equipment in the style of John Constable.

The Two-Fund Separation Theorem introduced by James Tobin, a Nobel Prize-winning economist, is a fundamental concept in investment theory. It addresses how investors can optimally allocate their assets. In an efficient market an optimal portfolio is a combination of a risk-free asset and a market portfolio.

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Logging like a Lumberjack

Cut logs floating down a river in the Amazon.

Sprinkling status messages across you code using print() statements can be a good temporary fix for tracking down issues in your code.

But it can get messy and there’s no way for you to selectively disable them. Sure you can redirect output to a file or /dev/null but this is an all-or-nothing solution. How about disabling some messages and retaining others?

This is where the logging module comes into its own.

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Risk/Reward Tradeoff

A painting of a river valley. On the left the countryside it verdant and green. On the right it's dry and brown.

The two quantities we have been modelling (the time-dependent average and standard deviation of the returns) represent respectively the (potential) risk and reward associated with an asset. The relationship between these two quantities is implicit in the GARCH model. However, sometimes the return depends directly on the risk. A variant of the GARCH model can take this explicit relationship into account.

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Docker Image from Scratch

An minimal image evocative of a whale.

Most often when you are creating a new Docker image it will be based on one of the standard Docker base images like ubuntu, alpine, python or nginx. But sometimes you might want to truly roll your own image. Starting with literally nothing. From scratch. Tabula rasa.

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Model Validation

A farmer inspecting a cow. Image in style of John Constable.

Is this a “good” model? How to validate a model and determine whether it’s a good representation of the training data and likely to produce robust and reliable predictions.

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Leverage Effect

Two ladies on a seesaw in a field. In style of John Constable.

The models we have been looking at do not differentiate between positive and negative residuals: both errors are treated the same. However, this does not align with reality, where the volatility resulting from a large negative return is higher than that for the corresponding positive return.

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Skewed Returns

A house tilted to the side in the middle of a river. Painting in the style of John Constable.

In the previous post we assumed that returns had a normal distribution. This assumption implied that the distribution was symmetric and a positive return was as likely as the corresponding negative return. In reality this assumption is just not true and returns are asymmetrically distributed.

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What is a GARCH Model?

A landscape in the style of John Constable.

A GARCH (Generalised Autoregressive Conditional Heteroskedasticity) model is a statistical tool used to forecast volatility by analysing patterns in past price movements and volatility.

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Rolling Volatility & Returns

An image of barrels being loaded onto carts in a style similar to that of John Constable.

In the previous post we loaded stock data into R and then calculated return volatility, both for the entire time series and shorter intervals. We saw that volatility is not constant but can change appreciably with time. One way to get a clear view of changes in volatility is by calculating them using a moving or (“rolling”) window.

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Loading Financial Time Series

An image of farm workers loading hay onto the back of a wagon in a style similar to that of John Constable.

I’m going to be writing a series of posts which will look at some applications of R (and perhaps Python) to financial modelling. We’ll start here by pulling some stock data into R, calculating the daily returns and then looking at correlations and simple volatility estimates.

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Read by Frank Collier

Read by Frank Collier

A collection of books read by my father, Frank Collier, for Tape Aids for the Blind. Dad was always an enthusiastic and patient reader. One of my earliest memories is of him reading to my sister and me in bed each morning. In retirement he devoted many hours to reading and editing books for Tape Aids for the Blind.

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What is Traefik?

Traffic in a LEGO landscape.

I’ve come across Traefik in a number of questions on Stack Overflow recently. I regularly use NGINX as a reverse proxy and sometimes find it to be a little obscure. Having an alternative would be helpful.

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Testing CSS & Xpath

A colourful image of people working in an impressionist style.

There are many tools for generating CSS selectors and XPath expressions. However, short of using them in your code, how can you quick test them? In this post I’ll show how you can use your browser’s Developer Tools to establish that your CSS or XPath is doing what you intend.

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Parsing the DOM

A mobster in Art Deco style.

The parse() function from the html-react-parser package converts HTML strings into React elements. It allows you to take HTML and render it as if it were JSX. This can be particularly useful when you’re working with content that comes as HTML from external sources (such as a CMS) and you want to include that content in your React components. It can also be used to filter and modify the React elements.

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