December 2011

With Size, Does Risk–>Return?

December 15, 2011 | klr

A basic tenet in finance is that higher risk should lead to higher return as the time horizon stretches to infinity.  However, in bonds, higher risk has not meant higher return with either credit risk (high-yield) or long duration risk (maturity &...
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RMySQL: using the latest MySQL version

December 15, 2011 | songpants

In order to connect my R related stuff to a webserver and MySQL I went all the way from using xampp to setting up my own (W)AMPP  (Apache MySQL PHP Perl) to finally back to xampp. And I’m quite happy about this very last switch to xampp! Why ... [Read more...]

Conversion of Several Variables to Factors

December 15, 2011 | Kay Cichini

..often needed when preparing data for analysis (and usually forgotten until I need it for the next time).With the below code I convert a set of variables to factors - it could be that there are slicker ways to do it (if you know one let me know!) __ da...
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Volatility estimation and time-adjusted returns

December 15, 2011 | Pat

Do non-trading days explain the mystery of volatility estimation? Previously The post “The volatility mystery continues” showed that volatility estimated with daily data tends to be larger (in recent years) than when estimated with lower frequency returns. Time adjusting One of the comments — from Joseph Wilson — was that there is ... [Read more...]

R pitfall #3: friggin’ factors

December 15, 2011 | Luis

I received an email from one of my students expressing deep frustation with a seemingly simple problem. He had a factor containing names of potato lines and wanted to set some levels to NA. Using simple letters as example names … Continue reading → [Read more...]

R/Finance 2012 Call for Papers

December 15, 2011 | Joshua Ulrich

I'm excited to share the call for papers for the upcoming R/Finance conference.  Even if you don't submit a presentation, I hope to see you there!Call for Papers:R/Finance 2012: Applied Finance with RMay 11 and 12, 2012University of Illinois, Chic... [Read more...]

More orthodox ARMA/GARCH trading

December 14, 2011 | The Average Investor

The system described in the earlier series for ARMA trading was in fact an “extreme” version of the more common, orthodox approach prevailing in the literature. Recently I tried using R to reproduce the results of a particular paper, and that lead to a lot of new developments … How is ... [Read more...]

CloudStat’s Infographic with…

December 14, 2011 | PR

CloudStat’s Infographic with Piktocharthttp://visual.ly/cloudstat-infographic CloudStat is a cloud-based statistical platform that allows users to analyze data in the cloud at anywhere, any time, across multiple platform while connecting with the exp... [Read more...]

List of public databases from the Washington Post

December 14, 2011 | David Smith

The Washington Post has put together an excellent list of publicly-accessible databases, ideal for analysis using the R language. You'll find databases from the domains of Census and Demographics (for example, the American Community Survey), Crime and Courts (like this list of federal prosecutions), Transportation and Development (e.g. older ... [Read more...]

Revolution Newsletter: December 2011

December 14, 2011 | David Smith

The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full December edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Applications of R in Business ... [Read more...]

RcppArmadillo 0.2.34

December 13, 2011 | Thinking inside the box

And another quick bugfix release by Conrad Sanderson made it version 2.4.2 bug of Armadillo. And this is in RcppArmadillo release 0.2.34 which got to CRAN this morning The NEWS entry below summarises the changes. 0.2.34 2011-12-12 o Upgr... [Read more...]

Maximum Covariance Analysis (MCA)

December 13, 2011 | Marc in the box

Maximum Covariance Analysis (MCA) (Mode 1; scaled) of Sea Level Pressure (SLP) and Sea Surface Temperature (SST) monthly anomalies for the region between -180 °W to -70 °W and +30 °N to -30 °S.  MCA coefficients (scaled) are below. The mode represents 94% of the squared covariance fraction (SCF).Maximum Correlation Analysis (MCA) ... [Read more...]

Data is the new gold

December 13, 2011 | mages

We need more data journalism. How else will we find the nuggets of data and information worth reading? Life should become easier for data journalists, as the Guardian, one of the data journalism pioneers, points out in this article about the new open ...
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Unshorten (almost) any URL with R

December 13, 2011 | Tony Breyal

Introduction I was asked by a friend how to find the full final address of an URL which had been shortened via a shortening service (e.g., Twitter’s t.co, Google’s goo.gl, Facebook’s fb.me, dft.ba, bit.ly, TinyURL, tr.im, Ow.ly, etc.). I ... [Read more...]

Create maps with maptools R package

December 13, 2011 | Julyan Arbel

Baptiste Coulmont explains on his blog how to use the R package maptools. It is based on shapefile files, for example the ones offered by the French geography agency IGN (at départements and communes level). Some additional material like roads and railways are provided by the OpenStreetMap project, here. ... [Read more...]

RHadoop update: new tools for Hadoop map-reduce tasks in R

December 13, 2011 | David Smith

The open-source RHadoop project to integrate R and Hadoop continues apace, with a new version of the rmr package released this week. Changes in this version improve performance when storing and retrieving R objects from Hadoop with a native serialization process, support for equijoins (a MapReduce-style merge) and some new ... [Read more...]

I Work For The Internet !

December 13, 2011 | Scott Chamberlain

UPDATE: code and figure updated at 1150 am CST.The site I WORK FOR THE INTERNET is collecting pictures and first names (last name initials only) to show collective support against SOPA (the Stop Online Piracy Act).  Please stop by their site and a...
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