Monthly Archives: June 2011

A Quantstrat to Build On

June 2, 2011
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A Quantstrat to Build On

THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT TRADE THIS SYSTEM AS IT CAN LOSE SIGNIFICANT AMOUNTS OF MONEY.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. Some R finance powerhouses have been banging away on the quantstrat package for q...

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Highlights from R/Finance 2011 presentations

June 2, 2011
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Patrick Burns offers his selections from the presentations at the R/Finance 2011 conference. Check out his post for overviews of some great presentations (and truly, there's some awesome content available to download). I'll add another of my favourites: Bryan Lewis's presentation of his interface from R to the betfair betting market. (But if you use it to automate bets...

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Australians and Americans, 10 years after 9/11

June 2, 2011
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With Lynn Vavreck at UCLA, I ran parallel public opinion surveys in Australia and the United States, measuring attitudes on security, the fight against terrorism, the wars in Afghanistan etc, some 10 years after the 9/11 attacks. Full report here (gene...

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Sweave diagram, following Knuth’s original

June 2, 2011
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Sweave diagram, following Knuth’s original

In preparation for a talk, I updated Knuth's original diagram in Donald E. Knuth. Literate programming. The Computer Journal, 27(2):97–111, May 1984. The new diagram is Sweave specific. Click the Sweave diagram for a PDF version, or right-click and select 'save image as' for the PNG version. Permission is granted for any use of the

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Selections from the R/Finance conference

June 2, 2011
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Selections from the R/Finance conference

The R/Finance conference happened in Chicago at the end of April.  If, like me, you weren’t there, you can still benefit from it because slides from many of the talks are now online. Here is a quick synopsis (in chronological order) of some of the talks I found most interesting. Michael Kane Michael Kane and … Continue reading...

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Annual Returns by State of the US Economy

June 1, 2011
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Annual Returns by State of the US Economy

Sometimes it is fun to just look at annual returns, especially as the financial world has shifted its focus to microseconds in a world of inconceivable macro imbalances.  St. Louis Fed (USREC) offers a binary state of the economy with 1=recession ...

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Kaggle Competition Walkthrough: Wrapup

June 1, 2011
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Kaggle Competition Walkthrough: Wrapup

The Kaggle Don't Overfit competition is over, and I took 11th place! Additionally, I tied with tks for contributing the most to the forum, so thanks to everyone who voted for me! I voted for tks, and I'm very happy to share the prize with him, as most...

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R in a nutshell

June 1, 2011
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R in a nutshell

I got this book as a reference for my work with R and do like it. Just after browsing the chapters I already found some useful hints about loading and manipulating data, e.g., loading of fixed-width data files!

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Day #54 Major bugfix

It seems that Rserve works in a 1 byte charactersystem. This was giving us strange results. When I read in data from KNIME with strange characters like µ the errors began. Every time I used the character “µ”, my output in Rserve would be:...

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New version of analogue (0.7-0)

June 1, 2011
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New version of analogue (0.7-0)

Last week I pushed an update of my analogue package to CRAN. The last release (0.6-23) was on CRAN sometime in Mar 2010 so an update was well overdue. This (0.7-0) is a major update to analogue containing lots of … Continue reading →

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