(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...
Monthly Archives: July 2011
Creating Financial Instrument metadata in R
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...
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 
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...
Rcpp 0.9.6
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...
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 
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
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 
Social reception for R enthusiasts at Joint Statistics Meetings
At the JSM 2011 conference in Miami on Monday, August 1, Revolution Analytics will be hosting a cocktail reception for R users, and anyone interested in R. From 5:30-7:30 at Emeril's Miami Beach House (in the JSM host hotel), we'll have appetizers, drinks, and the opportunity to socialize with R users from around the word. There will also be...
Word Cloud in R
A word cloud (or tag cloud) can be an handy tool when you need to highlight the most commonly cited words in a text using a quick visualization. Of course, you can use one of the several on-line services, such as wordle or tagxedo ,...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
