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My previous post talked about how we can employ PCA on the data for multiple stock returns to reduce the number of variables in explaining the variance of the underlying data. But the idea was greeted with skepticism by many. A caveat to the applicatio... [Read more...]

In our last tutorial on SVM training with GPU, we mentioned a necessary step to pre-scale the data with rpusvm-scale, and to reverse scaling the prediction outcome. This cumbersome procedure is now simplified with the latest RPUSVM. read more [Read more...]

Part 1: Embedded Relation Index EntityI continue series of posts about keyword-based searches on Google App Engine (GAE) using Relation Index Entity (see RIE with Java and REI with Python posts in this order). Having implemented efficient search on GAE let's switch the focus to usability. When user searches for a ... [Read more...]

This binary package supports R 2.13.x (32-bit/64-bit) and MySQL 5.5.16 (32-bit/64-bit). RMySQL 0.8-0 for MySQL 5.5.16 [Read more...]

Rose Hoffmann, AP Statistics teacher at Catholic Memorial High School in Waukesha, WI sent the following note to the Revolution Analytics team: In August 2010, my husband who is a statistician attended the American Statistical convention. Your company gave out the flying monkey with a black cape ... He gave me the ... [Read more...]

There are several blog posts, websites (and even books) explaining the transition from using another statistical system (e.g. SAS, SPSS, Stata, etc) to relying on R. Most of that material treats the topic from the point of view of i- … Continue reading → [Read more...]

(Hadley Wickham, author of ggplot2 and several other R packages, guest blogs today about forthcoming big-data improvements to his R graphics package -- ed.) Hi! I'm Hadley Wickham and I'm guest posting on the Revolutions blog to give you a taste of some of the visualisation work that my research ... [Read more...]

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return... [Read more...]

Financial market is interesting place, you find people taking positions (buying/selling) based on their expectations of what the security prices would be and are rewarded/penalized according to the accuracy of their expectations. The beauty of financia... [Read more...]

I stumbled upon this chart in the R Graph Gallery, which got me thinking someone could come up with a Volume by Price chart using R. Such charts can be useful to determine support and resistance levels, as they illustrate amount of volume for different price ranges. Below is my ... [Read more...]

In previous posts I discussed how to generate a single permutation from a fully-randomised or restricted permutation design using shuffle(). Here I want to briefly mention the shuffleSet() function and illustrate it’s usage. Every time you call shuffle() it has to interpret the … Continue reading → [Read more...]

The puzzle in Le Monde this weekend is not that clear (for a change!), so I may be confused in the following exposition: Three card players are betting with a certain (and different) number of chips each, between 4 and 9. After each game, the looser doubles the number of chips of ... [Read more...]

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If you haven't yet taken a look at Revolution R Enterprise but wanted to know what is adds to open-source R, the slides below from yesterday's webinar will give you a quick overview: A recorded replay with audio of the me giving the presentation is also available at the link ... [Read more...]

Last Wednesday I had a meeting with the folks of the New Zealand Drylands Forest Initiative in Blenheim. In addition to sitting in a conference room and having nice sandwiches we went to visit one of our progeny trials at … Continue reading → [Read more...]

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Shown above is a queueing simulation. Each diamond represents a person. The vertical line up is the queue; at the bottom are 5 slots where the people are attended. The size of each diamond is proportional to the log of the time it will take them to be attended. Color is ... [Read more...]

There is a call for postdoctoral positions supported by the Paris Mathematical Sciences Foundation. The deadline is December 13 and the on-line application is available. If you are interested in working with me on Bayesian statistics  (model choice, time series model) or computational methods (SMC, MCMC, ABC, &c.) thru this call, ... [Read more...]

Are there times of the year when returns are better or worse? Abnormal Returns prompted this question with “SAD and the Halloween indicator” in which it is claimed that the US market tends to outperform from about Halloween until April. Data The data consisted of 15,548 daily returns of the S&... [Read more...]