Monthly Archives: April 2010

Significant Figures in R and Info Zeros

April 11, 2010
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Significant Figures in R and Info Zeros

The other day, I stumbled upon the signif function in R, so I thought I'd take a look at what it does and compare it with some results discussed in Chap. 3 "Damaging Digits in Capacity Calculations" of my GCaP book, viz., Example 3.5 on page 31. The m...

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R frustration of the day

April 11, 2010
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Whenever you take a 1 column slice of a matrix, that gets automatically converted into a vector. But if you take a slice of several columns, it remains a matrix. The problem is you don’t always know in advance how big the slice will be, so if you do this: newMatrix

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Historical / Future Volatility Correlation Stability

April 11, 2010
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Historical / Future Volatility Correlation Stability

Michael Stokes, author of the MarketSci blog recently published a thought-provoking post about the correlation between historical and future volatility (measured as the standard deviation of daily close price percentage changes). This post is intended...

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Poor man’s pairs trading…

April 11, 2010
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Poor man’s pairs trading…

There is a central notion in Time Series Econometrics, cointegration. Loosely it refers to finding the long run equilibrium of two non-stationary series. As the most know non-stationary series examples comes from finance, cointegration is nowadays a tool for traders (not a common one though!). They use it as the theory behind pairs trading (aka

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Summarising data using histograms

April 11, 2010
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Summarising data using histograms

The histogram is a standard type of graphic used to summarise univariate data where the range of values in the data set is divided into regions and a bar (usually vertical) is plotted in each of these regions with height proportional to the frequency of observations in that region. In some cases the proportion of

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Compiling 64-bit R 2.10.1 with MKL in Linux

April 10, 2010
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The rationale for compiling R using the Intel Math Kernel LibraryRecently, there has been a surge in the use of Intel's Math Kernel Library (MKL; http://software.intel.com/en-us/intel-mkl/) among data analysis packages. MKL is a highly optimized set of...

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Compiling 64-bit R 2.10.1 with MKL in Linux

April 10, 2010
By

The rationale for compiling R using the Intel Math Kernel LibraryRecently, there has been a surge in the use of Intel's Math Kernel Library (MKL; http://software.intel.com/en-us/intel-mkl/) among data analysis packages. MKL is a highly optimized set of...

Read more »

Where do you sit? Author position and the h-index

April 10, 2010
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Where do you sit?  Author position and the h-index

I was recently introduced to the concept of the h-index and was compelled to find out my own h-index via Scopus.  Numbers don't matter, but discussion with my colleagues turned to the issue of author position.  We quickly decided that there are three important "positions" in the list of authors for a publication: first, last and everywhere else...

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Where do you sit? Author position and the h-index

April 10, 2010
By
Where do you sit?  Author position and the h-index

I was recently introduced to the concept of the h-index and was compelled to find out my own h-index via Scopus.  Numbers don't matter, but discussion with my colleagues turned to the issue of author position.  We quickly decided that there are three important "positions" in the list of authors for a publication: first, last and everywhere else...

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Because it’s Friday: Pixels invade New York

April 9, 2010
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Posted for no other reason than it warms my gamer-geek heart to see NYC taken over by 8-bit video game characters. The Tetris sequence is particularly cool. Update: The original video was deleted from YouTube, I'm guessing because of copyright issues with the music. This version has no music. (Thanks to reader MB in the comments for the heads-up.)

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