Monthly Archives: October 2011

Jeff Augen Volatility Spike Code in R

October 2, 2011
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Jeff Augen Volatility Spike Code in R

Jeff Augen has written many excellent books on options trading, including&nb...

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Adding a volatility filter with VIX

October 2, 2011
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Adding a volatility filter with VIX

We saw in the basic system how we could add a factor, namely the 200 day moving average, to improve the overall performance of our system. You could spend a lot of time playing with different moving averages, and different combinations of crossovers if...

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vectorplot in rasterVis

October 2, 2011
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vectorplot in rasterVis

The function slopeAspect from raster provides the vector field (gradient) from a scalar field stored in a RasterLayer object. The magnitude (slope) and direction (aspect) of the vector field is usually displayed with a set of arrows (e.g. quiver in Matlab). rasterVis includes now a method, vectorplot, to calculate and display this vector field

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Modelling with R: part 2

October 2, 2011
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Modelling with R: part 2

I apologize for the delay in the second post (just in case anybody was waiting), I had been vary involved with work the past week. I shall try to be more regular. Well, in the previous post, we successfully imported data into R and got a basic "feel" o...

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Latent class mixed models – with graphics

October 2, 2011
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Latent class mixed models – with graphics

Foreword Apologies that the output isn’t showing well as far as spacing and alignment is concerned. Am working on fixing that! Background Generally when we have a set of data, we have known groupings. Be that three different treatment groups, … Continue reading →

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Let R fly: Visualizing Export Data using R

October 2, 2011
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Let R fly: Visualizing Export Data using R

Having been using R for 5+ years, visiting www.r-bloggers.com daily, learning cool tricks from it and knowing cool UseRs from it, I finally decide to quit being an observer and start to be a contributor to this wonderful community. In this very … Continue reading →

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Overhead cost of a function call

October 1, 2011
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Overhead cost of a function call

Recently, I would like to apply unit testing method to my R program. The first thing i need to chop every few lines of the code into functions so that I can test each of them. A Question comes up to my mind: What is the overhead cost of a function call? To answer this

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Updated examples that combine Rcpp and CppBugs

October 1, 2011
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This example is very informative in illustrating how to use CppBugs module with Rcpp to conduct fast MCMC simulation in R.

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Reminder: One week til Rcpp class in San Francisco

October 1, 2011
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Just a quick note to remind everyone that the Rcpp class in San Francisco, which I am holding together with Revolution Analytics, will take place a week from today. We are happy to report that the number of registrations has met our initial target...

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