Bayesian Statistical Modeling with Stan and R

In this post, we will cover Matsuura K. (2023) Bayesian Statistical Modeling with Stan, R, and Python.

Bayesian Networks

In this post, we will cover Scutari M., Denis J. (2021) Bayesian Networks: With Examples in R.

Time Series Modeling - State-Space Model

In this post, we will continue to cover Kitagawa G. (2021) Introduction to Time Series Modeling focusing on State-Space models.

Time Series Modeling - ARMA

In this post, we will continue to cover Kitagawa G. (2021) Introduction to Time Series Modeling focusing on ARMA.

Time Series Modeling

In this post, we will cover Kitagawa G. (2021) Introduction to Time Series Modeling.

Time Series Analysis for the State-Space Model with R/Stan

In this post, we will cover Hagiwara J. (2021) Time Series Analysis for the State-Space Model with R/Stan.

Machine Learning

In this post, we will cover James G, Witten D., Hastie T. Tibshirani R. (2021) An Introduction to Statistical Learning.

Econometrics (Time-Series Analysis)

In this post, we will cover Carter R., Griffiths W., Lim G. (2018) Principles of Econometrics, focusing on time series analysis.

Time Series Analysis - State Space Models

In this post, we will continue with Shumway H. (2017) Time Series Analysis, focusing on State Space Models. y

In this post, we will continue with Shumway H. (2017) Time Series Analysis, focusing on Spectral Analysis. We will look into the frequency domain approach to time series analysis. We argue that the concept of regularity of a series can best be expressed in terms of periodic variations of the underlying phenomenon that produced the series.

Time Series Analysis - ARIMA Models

In this post, we will continue with Shumway H. (2017) Time Series Analysis, focusing on ARIMA models.

Time Series Analysis - Classical Regression

In this post, we will cover Shumway H. (2017) Time Series Analysis, focusing on classical regression.

TidyModels

In this post we will follow the book Tidy Modeling with R.

Structured Products

In this post we will review Structured Products.

Time Series Analysis

In this post, we talk about Time Series Analysis.

Seasonal Component

In this post, we are attempting to replicate STL seasonal component calculation. We will use S&P 500 close prices for demonstration.

Banking

In this post we will follow the examples in Moorad Choudhry’s The Principles of Banking book.

Yield Curve

In this post we will talk about yield curve.

Universal Banking

In this post we will talk about universal banking and cover mostly on Sales & Trading.

Asset Liability Management (ALM)

In this post we will talk about ALM.

Bookkeeping

In this post we will follow the tutorials from the YouTube channel “Accounting Stuff” using GNUCash.

COT Reports

In this post we are going to talk about the Commitments of Traders (COT) report.

Economic Reports

We will touch on smaller economic reports that can be squeezed into one post.

Gross Domestic Product (GDP)

The Gross Domestic Product (GDP) report is a quarterly report prepared by The Bureau of Economic Analysis (BEA) that comes out on the final week of January, April, July, and October at 8:30am EST.

Leading Economic Indicator

The LEI (Leading Economic Indicator) report is a monthly report prepared by The Conference Board that comes out on the third week of the month at 10:00am EST.

PPI Report

The PPI report is a monthly report prepared by the Bureau of Labor Statistics (BLS) that usually comes out on the second week of the month at 8:30am EST. Each month report is only subjected to one revision 4 months later and an annual revision in Feburary. In this post, we explain the key components of the report to look out for.

CPI Report

The CPI report is a monthly report prepared by the Bureau of Labor Statistics (BLS) that usually comes out on the second week (8th to 19th) of the month at 8:30am EST. There are no monthly revision and only annual changes in Feburary. In this post, we explain the key components of the report to look out for.

100 Integrals (51-60) @blackpenredpen

This post document the solutions to 100 integrals (Problem 41 to 50) solved by @blackpenredpen in his 5h++ marathon endeavor.

100 Integrals (41-50) @blackpenredpen

This post document the solutions to 100 integrals (Problem 41 to 50) solved by @blackpenredpen in his 5h++ marathon endeavor.

100 Integrals (31-40) @blackpenredpen

This post document the solutions to 100 integrals (Problem 31 to 40) solved by @blackpenredpen in his 5h++ marathon endeavor.

100 Integrals (21-30) @blackpenredpen

This post document the solutions to 100 integrals (Problem 21 to 30) solved by @blackpenredpen in his 5h++ marathon endeavor.

100 Integrals (11-20) @blackpenredpen

This post document the solutions to 100 integrals (Problem 11 to 20) solved by @blackpenredpen in his 5h++ marathon endeavor.

100 Integrals (1-10) @blackpenredpen

This post document the solutions to 100 integrals (Problem 1 to 10) solved by @blackpenredpen in his 5h++ marathon endeavor.

Employment Situation (Job Report)

The Employment Situation report, aka Jobs report, aka Payroll report comes out the first Friday of the month at 8:30am EST. Revisions are monthly. In this post, we explain the key components of the report to look out for.

FOMC Minutes

In this post, we will go through the structure of Fed minutes.

Fed Balance Sheet

In this post, we will go through the factors affecting central reserves balances as shown in H.4.1 Factors Affecting Reserve Balances

FX Forwards and Swaps

Forwards are FX contracts to fix the exchange rate in the future. As the contract involve the future, interest rates are involved. Furthermore we have to deal with two relative interest rates (interet rates differential) for the two currencies.