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Jan 22
Justin, the founder of Thinknum, contacted me a few days ago about his site, I am very glad to share on this blog since it looks interesting and close related to the blog content.  

Thinknum is a web platform that enables investors to collaborate on financial analysis, it aggregates the abundance of financial data and insights on the web and presents it to our users in an intuitive format, indexing the world’s financial information in the process.

A few samples of what you can do on Thinknum:
Thinknum’s Cashflow Model allows users to value companies based on fundamentals just like Wall Street research analysts do.  All the assumptions that go into the valuation models are visible and editable.  The data for the models is also updated automatically when companies publish their quarterly filings.

The Plotter allows users to track financial data, analyze trends, and perform expressions such as regressions and correlations without having to write code.  Thinknum currently provides data from over 2,000 sources.

A few experts have written about Thinknum:
•  Jason Voss of the CFA Institute published a comprehensive overview of Thinknum’s mission.
•  Francis Smart discussed Thinknum’s integration with R on R-Bloggers.  

Thinknum was founded in 2013 by Gregory Ugwi and Justin Zhen, two friends who met at Princeton University in 2006.  After graduation, Gregory went to work for Goldman Sachs and Justin worked at a hedge fund, where they both discovered the major flaws with existing financial data analysis tools.  That’s when they decided to create a superior platform for all types of investors.

Thinknum is constantly adding new features, so join their community and sign up for free today at thinknum.com.
Aug 13
On Geometric and Arithmetic Approaches to Attribution Linking: MATLAB Code: The new Arithmetic Linking Algorithm effectively “patches the existing holes” in other methods. Unlike the standard and modified Frongello Algorithms, the new method is independent of the month order. Compared to Carino and Menchero, this is a linear and non-smoothing construction. The new algorithm is simple, easy to use, and hence more appropriate for practitioners without advanced training in mathematics. It should eventually replace whatever Arithmetic algorithm is used by Performance Measurement specialists.

R/Finance 2012: Applied Finance with R: slides for the R/Finance 2012: Applied Finance with R conference.

Black-Scholes Option Pricing in MATLAB using the NAG Toolbox: how to use the NAG Toolbox for MATLAB to replace some of the option pricing routines in the Finance Toolbox.
May 2
A Review of Volatility and Option Pricing: a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility.

Read Big Text Files Column by Column: use a new R package "colbycol" to read big data column by column in R to partly overcome memory issue.

Forecasting Yield Curves with Survey Information:  could this information-rich supplementary data be used to improve the interest rate forecasting models for out-of-sample forecasts? slides here.

100+ Years of Financial Risk Measurement and Management: I selectively survey several key strands of literature on financial risk measurement and management. I begin by showing why the need for financial risk measurement and management exists, and then I turn to relevant aspects of return distributions and volatility fluctuations, with implicit emphasis on market risk for equities.

Ceres Solver - A Nonlinear Least Squares Minimizer: Ceres Solver is a portable C++ library that allows for modeling and solving large complex nonlinear least squares problems.

Infographic: Is the Black Scholes Model Responsible for the Credit Crunch: a simple defense of the Black Scholes model for credit crunch.
Apr 20
A Generalized Measure of Riskiness: a generalized options’ implied measure of riskiness based on the risk neutral return distribution of financial securities is able to provide asset allocation implications and successfully predict the cross section of 1-, 3-, 6-, and 12-month ahead risk-adjusted returns of individual stocks.

Identifying financial crises in real time: we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events which are different from the ordinary, like financial crises.

Free Historical Intra-Daily Data: how to download free intraday data from Google Finance.

New ranking of London's hedge funds: ranking by size.
 London's hedge funds
Apr 13
RExcel: call R in Excel.

Speed up your R code using a just-in-time (JIT) compiler: A simple trick to speed up your R code.

Assessing Models of Individual Equity Option Prices: This article investigates option models in the encompassing class of stochastic volatility, return-jumps, and volatility-jumps.

Good Strategy Bad Strategy: The Difference and Why It Matters: The author describes what strategy IS, and describes how to distinguish good from bad. It's the kind of stuff that's obvious - but only AFTER you've had it pointed it out to you.

Fallacies of Valuing Bonds With Near 0% Interest Rates: Investors hate inflation, but they love TIPS.
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