# Monthly Archives: November 2011

## Help: stemming and stem completion with package tm in R

November 3, 2011
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I came across a problem below when doing stemming and stem completion with package tm in R. Word “mining” was stemmed to “mine” with stemDocument(), and then completed to “miners”with stemCompletion(). However, I prefer to keep “mining” intact. For stemCompletion(), … Continue reading

## Webinar on Portfolio Rebalancing with R and Sybase

November 3, 2011
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R users in the financial industry may be interested in the following webinar hosted by Revolution Analytics' partner Sybase on November 10: Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management With volatility and violent intraday swings becoming the new normal, intraday risk controls are now needed to not only reduce your exposures across multiple asset classes,...

## Modern Portfolio Optimization Theory: The idea

November 3, 2011
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We were recently given a lecture (by Dr. Susan Thomas) on Harry Markowitz portfolio optimization theory, and I was really fascinating with the noble laureate's story of how he found it difficult to convince his guide about the importance of h...

## Variability of volatility estimates from daily returns

November 3, 2011
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Investment Performance Guy has a post “Periodicity of risk statistcs (and other measures)” in which it is wondered how valid volatility estimates are from a month of daily returns. Here is a quick look.  Figure 1 shows the variability (and a 95% confidence interval) of volatility estimates for the S&P 500 index in January 2011.  … Continue reading...

## Maximizing Omega Ratio

November 3, 2011
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$Maximizing Omega Ratio$

The Omega Ratio was introduced by Keating and Shadwick in 2002. It measures the ratio of average portfolio wins over average portfolio losses for a given target return L. Let x.i, i= 1,…,n be weights of instruments in the portfolio. We suppose that j= 1,…,T scenarios of returns with equal probabilities are available. I will

## Some Simple but Propably Useful Regex Examples with R-Package stringr…

November 3, 2011
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I found that examples for the use of regex in R are rather rare. Thus, I will provide some examples from my own learning materials - mostly stolen from the help pages, with small but maybe illustrative adaptions.ps: I will extent this list of examples...

## First thoughts on R

November 2, 2011
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Having worked just a little with R, I have some first impressions to share.  I'll give you some links to resources I found helpful with writing the previous project.

First, the documentation is not very good.  I struggled on previous attempts to figure things out.  I still find it crap shoot when I Google, looking for an answer....

## Code Optimization: One R Problem, Ten Solutions – Now Eleven!

November 2, 2011
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Earlier this year I came across a rather interesting page about optimisation in R from rwiki. The goal was to find the most efficient code to produce strings which follow the pattern below given a single integer input n: From this we can see that the general pattern for n is: It is rather heart

November 2, 2011
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If you are creating maps then for goodness sake Use sensible colours!  I was helping some undergraduates with some work the other day, and they decided to use the following colour scheme for representing river depth: Deep water: Red Medium-depth water: Bright green Shallow water: Pink Why did they do this? Well, either they were