Most popular posts – 2016

Another year. Looking at my google analytics reports I can’t help but wonder how is it that I am so bad in predicting which posts would catch audience attention. Anyhow, top three for 2016 are:

On the 60/40 portfolio mix
The case for Regime-Switching GARCH
Most popular machine learning R packages

And my personal favorites:
ASA statement on p-values
Why bad trading strategies may perform well? Mathematical explanation

It is also an opportunity to say thank you, and to wish you a happy and productive 2017.

Most popular posts – 2015

The top three for the year are:
Out-of-sample data snooping
Code for my yield curve forecasting paper
Review of a couple of books
I personally enjoyed the most writing a few words on ML estimation, and about those great statistical discoveries. Since the last post did not involve any code or images I initially thought it would be a breeze. I in fact spent twice the time I usually do, and it was all good fun.

In 2015 I wrote quite a bit about volatility and correlation. In 2016 I plan to learn more (so to write more) about portfolio construction.