Monthly Archives: July 2011

Importing google news data to R

July 6, 2011
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Importing google news data to R

I've been playing around lately with the stock market data available from google finance, through quantmod in R. Here's a function I've written (which depends on the R Data Science Toolkit), to pull news stories related to a stock from google, parse t...

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Early stopping and penalized likelihood

July 6, 2011
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Early stopping and penalized likelihood

Maximum likelihood gives the beat fit to the training data but in general overfits, yielding overly-noisy parameter estimates that don't perform so well when predicting new data. A popular solution to this overfitting problem takes advantage of the iterative nature of most maximum likelihood algorithms by stopping early. In general, an iterative optimization algorithm goes from a...

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Yet another way to use R in Excel for .NET programmer

July 6, 2011
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Yet another way to use R in Excel for .NET programmer

I wrote the article whose title is "Another way to use R in Excel for .NET programmer" last night.In that article, We need to use IDE to write C# program.On ther other hand, Excel-DNA give us easier way to create XLL.Let me show you one ...

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Artificial intelligence in trading: k-means clustering

July 6, 2011
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Artificial intelligence in trading: k-means clustering

There is many flavors of artificial intelligence (AI), however I want to show practical example of the cluster analysis. It is very applicable in finance. For example, one of stylized facts of volatility is, that it moves in clusters, meaning that today’s volatility will be more likely as yesterday’s volatility. To gauge these moves you

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Google Correlate Certainly Does Not Imply Causation

July 6, 2011
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Google Correlate Certainly Does Not Imply Causation

I recently heard about a new tool called Google Correlate that helps one finds Google search patterns that correspond to (i.e. correlate with) real-world trends.For those that don't get it yet, the tool allows one to type in a search term and the tool ...

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Color reduction of an image – and Warholize?

July 5, 2011
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Color reduction of an image – and Warholize?

There seems to be several methods out there for reducing the colors in an image. I became interested in this after pondering how this is done in the excellent freeware program IrfanView. Unfortunately, their method is not described anywhere that I coul...

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ARMA Models for Trading, Part VI

July 5, 2011
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ARMA Models for Trading, Part VI

All posts in this series were combined into a single, extended tutorial and posted on my new blog. In the fourth posting in this series, we saw the performance comparison between the ARMA strategy and buy-and-hold over the last approximately 10 years. Over the last few weeks (it does take time, believe me) I back-tested

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Even faster linear model fits with R using RcppEigen

Linear regression models are a major component of every applied researcher's toolbox. Obtaining results more quickly is therefore of central importance, particularly when many such models have to be fit. Common examples in this context are Monte Carl...

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A Quantstrat to Build On Part 6

July 5, 2011
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A Quantstrat to Build On Part 6

THIS IS NOT INVESTMENT ADVICE.  ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...

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New R User Group in Argentina

July 5, 2011
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A new local R user group has formed in Buenos Aires, Argentina, under the succinct name ".aR". They're currently putting together the agenda for their first meeting, and are looking for speakers with expertise in the BioConductor project and Finance. If you'd like to join the group, check out the Spanish-language website for .aR, or follow @ar_usergroup on Twitter....

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