July 2011

Program for useR! 2011 available

July 28, 2011 | David Smith

The final program for the worldwide user conference, useR! 2011, is now available as a downloadable booklet (PDF, 7Mb). Revolution Analytics is very proud to sponsor this annual gathering of R users from around the world, and the program includes an outstanding lineup of speakers from the R Core Group, package ... [Read more...]

I can’t resist a word cloud: now using R!

July 28, 2011 | nsaunders

The wordcloud package is word clouds for R with a difference: they look great. Of course, having just analysed online coverage of the ISMB conference, I had to run all 6 906 comments from the 2008-2011 meetings through some code. If you followed along via the Sweave code, I went as far ... [Read more...]

More S&P 500 correlation

July 28, 2011 | Pat

Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations.  However, it is possible to see more of the distribution than just the mean.  Figures 1 and 2 show several quantiles: 10%, 25%, 50%, 75%, 90%. Figure 1: Quantiles of 50-day rolling correlation of … Continue reading → [Read more...]

Core not in CiRM

July 27, 2011 | xi'an

Despite not enjoying this year the optimal environment of CiRM, we are still making good progress on the revision (or the R vision) of Bayesian Core. In the past two days, we went over Chapters 1 (Introduction), 2 (Normal Models), 5 (Capture-Recapture Experiments), and 6 (Mixture Models), with Chapters 3 (Regression), 4 (Generalised Linear Models) [...] [Read more...]

Creating Financial Instrument metadata in R

July 27, 2011 | Joshua Ulrich

(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same.  When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the ... [Read more...]

Join the Reserves

July 27, 2011 | klr

Most forget that the tremendous macro imbalances caused by the 10 Trillion in foreign reserves are just 14 years old phenomenon but the results have been and will be profound.  The buying started after the Asia Pacific collapse of 1997, and the As...
[Read more...]

Rcpp 0.9.6

July 27, 2011 | Thinking inside the box

A new maintenance release version 0.9.6 of Rcpp went onto CRAN and into Debian earlier today. This release contains a fix which helps the RppEigen package (mentioned previously on this blog), as well as an addition which permits user-defined fina... [Read more...]

A slice of infinity

July 27, 2011 | xi'an

Peng Yu sent me an email about the conditions for convergence of a Gibbs sampler: The following statement mentions convergence. But I’m not familiar what the regularity condition is. “But it is necessary to have a finite probability of moving away from the current state at all times in ... [Read more...]

How big block trades affect stock market prices?

July 27, 2011 | Dzidorius Martinaitis

I will be giving a presentation on “Optimal transaction cost” in Vilnius on  16  August. While preparing the presentation and looking for an optimal execution solution, a natural question arises: does the size of the trade affect stock market price? I’m sure, you would say 100 % yes. Well, you would be ... [Read more...]

The Stats Clinic

July 27, 2011 | richierocks

Here at HSL we have a lot of smart kinda-numerate people who have access to a lot of data. On a bad day, kinda-numerate includes myself, but in general I’m talking about scientists who have have done an introductory stats course, but not much else. When all you have ... [Read more...]

An efficient way to do dataset intersection

July 27, 2011 | Xianjun

The main message is to use "match" to get index of needed rows and then get the rows by the index, instead of using the row names to select, which is much slower. Here is example:In example above, we know that the same values of column 2nd have same ... [Read more...]
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