Monthly Archives: July 2011

Core not in CiRM

July 27, 2011
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Core not in CiRM

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)

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Creating Financial Instrument metadata in R

July 27, 2011
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(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 properties of these instruments becomes critical to tasks...

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Join the Reserves

July 27, 2011
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Join the Reserves

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...

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Analysis of ISMB coverage at FriendFeed: 2008 – 2011

July 27, 2011
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Analysis of ISMB coverage at FriendFeed: 2008 – 2011

ISMB/ECCB 2011 was held between July 15-19 this year and as in previous years, FriendFeed was used to cover the meeting. Last year, I wrote a post about how to use R to analyse the coverage. I was planning something similar for 2011 when I thought: we have 4 years of ISMB at FriendFeed now

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A Currency Graph

July 27, 2011
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A Currency Graph

Here's a graph in which nodes (and edges) represent currencies (and exchange rates):library(igraph)currencies <- factor(c("EUR", "USD", "JPY", "GBP"))df <- subset(expand.grid(from=currencies, to=currencies), from != to)GetExchangeRate...

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Adding Sweave.sty and Rd.sty to your LaTeX path in Mac OS X

July 27, 2011
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Adding Sweave.sty and Rd.sty to your LaTeX path in Mac OS X

Okay, this extremely specific, but a headache that must be solved if you plan to create or modify R extensions (aka R source code packages). This is because R requires that you also build documentation through a process that is … Continue reading →

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Rcpp 0.9.6

July 27, 2011
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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...

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A slice of infinity

July 27, 2011
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A slice of infinity

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 order to satisfy the regularity conditions on which

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How big block trades affect stock market prices?

July 27, 2011
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How big block trades affect stock market prices?

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 right, but what is

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The Stats Clinic

July 27, 2011
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The Stats Clinic

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 is a t-test, suddenly everything looks

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