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Varying Window Length for Linear Models on Stocks

In a previous post, we discussed ideas generated by a Timely Portfolio post about Linear Models on Stock. I wanted to see if there was a relationship between the window length of the running mean of the linear regression slope estimate and the running mean of the correlation between fitted and observed values. The parameters [...]

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This blog discusses ideas, questions and research directions related to Data Science, the next-generation analytics mindset.

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Eric Nguyen is a data scientist with current focus on Finance, Economics, Big Data Analytics, and Social Mood analysis.

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