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Section for economy.

22 Apr 2016

Capital Asset Pricing Model (CAPM)

CAPM this is the mathematical model, based on the covariance matrix, which is used to examine the relation between systematic risk, and expected rate of return. This model was introduced in the sixties of 20th century by four economists independently: three Americans - William F. Sharpe (Stanford University), Jack Treynor (present President of Treynor Capital Management), John Lintner (Harvard Business School) and Norwegian - Jan Mossin (Norwegian School of Economics). Their works were based on "Portfolio Selection: Efficient Diversification of Investments" by Harry Markowitz (published in 1959).

09 Jul 2015

Cross-correlations

Observation of the cross-correlations between many pairs of series (presented as plots) can be a helpful method of the market fluctuations study. In this method plots of market shares are to be compared in selected period of time. Those plots present stock quotes changes in time. The examined company has a status of the base company. Its prices of shares are to be compared with other shares by calculation of correlations. As a result we get overlapping graphs, which are helpful in the prediction of the stock quotes of the basis company in the future. Historical prices data is accesible on-line.

09 Mar 2015

Matching pursuit

Maps of matching pursuit approximation are as results of time-frequency analysis taken from transformation of input data (operand) by an algorithm (operator). In math operand is the object of a mathematical operation. In time-frequency analysis an argument is a signal or time series like sound, Brownian motion, medical signals, stock market data etc. In matching pursuit, operand is referred to as Gabor functions, which are proposed by Dennis Gabor (1900 - 1979), who was a Hungarian physicist working in Great Britain. In 1971 he received Nobel Prize in Physics for inventing holography.

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