Monthly Archives: November 2011

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

The next generation of parallel R

November 2, 2011
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In view of open-source parallel computing with R this week presents a big step to the future. R 2.14.0 was released at October 31th, 2011. Now, R base ships with a parallel computing package called “parallel”.  library(parallel) It combines advantages of the packages multicore and snow and it contains support for multiple RNG streams. The

Strange behavior of correlation estimation

November 2, 2011
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The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the cova...

"Applications of R" contest submissions online

November 2, 2011
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Thanks to everyone for participating in the "Applications of R in Business" contest. R users submitted more than 25 entries, describing how R is used in industries including life sciences, finance, manufacturing, sentiment analysis, and even sports. Some entries are just outlines for now (competitors have until November 30 to finalize their entries), but already there are some quite...

Using Sweave with Beamer: A note on fonts

November 2, 2011
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Recently, I've been preparing a poster using the LaTeX packages Beamer and beamerposter. The poster discusses a bunch of R stuff that I've been doing lately, so I successfully used Sweave to incorporate R code into the poster. However, I had some troub...