This is a very sad day.
Coming to work this morning, I find news of the death of my engineering icon. I never had the chance to work with Steve Jobs but I certainly enjoyed using all his toys. Engineering is about simplifying life for people, either for fun or used for a deeper purpose. Technology development is not successful unless it comes to use. Apple took this a step further, creating a technological religion, having people loving their products. Few companies have products with that glow. It is often said that no person is irreplaceable. Steve Jobs certainly is an exception to that rule.

Some of the magic is gone. Now Apple is just a tech company again.

Quantlab doesn't run on iPad yet. Now I'm not sure it ever will...

Someone said the correlation had gone up?

There has been quite a frequent debate surrounding correlations between markets. When you look at end-of-day quotes, the correlation has certainly gone up. But what about intra-day? Well most days actually you can't spot the difference between markets.

Here you see the intra-day chart for Stockholm, Helsinki, Copenhagen and Oslo. It's not the entire business day but the message is clear...

There must certainly be a number of HFT robots keeping these markets in line. Sure, some stocks and business have similarities, and yes there all Nordic region, but this has nothing to do with what you are actually buying or selling. It's just a spread game... or something.

Creating a monthly series from daily data

Today I came across the issue of converting a daily time-series to display and calculate only on end-of-month data.

Turns out that a series type cannot display the month, number combo directly in my workspace so a little workaround is needed.

In this example I start with a from and to date, in date format. Then we extract the starting month and end month for the series. Then we fill the series object with monthly data (using the move_bus_days to get the last business day of each month.

Lastly we want to plot the data so we fill the non-equidistant pair of dates and numbers in a vector of point date so that it can be displayed in a graph.

Problem solved: