Burns Statistics's profile

On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 for years 2006 through 2011. The behavior Figure 1 shows the actual mean correlation among stocks for the set of years and the mean correlation with default settings for the Ledoit-Wolf and statistical factor model functions in the BurStFin R package. Figure 1: Mean correlations within years: sample correlation (gold), statistical factor model (black), default Ledoit-Wolf (blue). The Ledoit-Wolf estimate has a...

(4 days ago)

Burns Statistics wrote a new blog post titled CambR and other upcoming events

New events CambR (Cambridge UK R user group) 2012 May 29 6:30 PM for 7:00 PM start. Pat Burns “Inferno-ish R” Abstract: While R is wonderful, it is not uniformly wonderful. We highlight a few things generally found to be confusing, and outline the forces that have driven such imperfections. Markus Gesmann “Interactive charts with R and GoogleVis” Abstract: The talk will give an overview of how R and googleVis can be used to create interactive charts with the Google Visualisation API. In combination with RStudio and the knitr package it is also possible to create...

(5 days ago)

Burns Statistics wrote a new blog post titled US market portrait 2012 week 21

US large cap market returns. There is an additional feature in the plots this week, a brief explanation is in the update to the post “Replacing market indices”. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R Subscribe to the Portfolio Probe blog by Email

(6 days ago)

About:

Burns Statistics is the consulting and software vehicle for Patrick Burns.

Experience

Consulting
Patrick has over a decade of experience as a consultant in the financial and medical industries. Assignments have included analysis of equity data with R, building GARCH modules in S, tutoring S and statistics, automated trading, risk management, and evaluating the efficacy of medical devices.

Finance
In addition to his consulting experience, Patrick was an employee of Schroder Salomon Smith Barney (Citigroup) in London for four years. While there, he developed statistical models for equities -- both client-facing and proprietary. He also wrote in-house software for numerous applications including portfolio optimization and risk management.

Software Development
Patrick was a lead developer of S-PLUS in its early years. His tasks included adding functionality (such as principal components and robust estimation in several settings), finding and fixing bugs, and documentation.

You can read his blog at: http://www.portfolioprobe.com/blog

Blogs