A single value to measure equity market correlation

There exists a vast amount of studies that show an increase in correlation between global equity indices during bear markets and propose ways to measure/forecast this correlation (see for example Campbell, Koedjik and Kofman or Capiello, Engle and Sheppard, and many, many more). These studies differ greatly in their methodologies and complexities but they more or less all show … Continue reading A single value to measure equity market correlation

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The time has come: setting up a DB with MySQL and R

The recent decision by Yahoo to screw with their API for financial data (and in the process disabling all packages/functions in various programing languages obtaining EOD (end-of-day) data, at least temporarily) shows us two important things: Nothing is free and reliable forever It's a good idea to have a database set up So for everyone … Continue reading The time has come: setting up a DB with MySQL and R