LondonR meetings presentations
Three presentations uploaded on LondonR meetings website. I especially enjoyed the JD Long presentation on the seque package for simulations using Amazon's EC2.
December 2011
Hello Mr. Bernake…
I was playing around tonight and came across something that looked odd. Using the importSeries() created before, I grabbed dividend adjusted returns for SHY, IEF, and TLT (iShares Short, Medium, and Long Maturity Treasury ETFs respectively). &nbs... [Read more...]
Stat-ET
Working on a new post and I'm starting to enjoy Stat-ET. Here's a screen shot (click to view full size)Notice the object browser. Want to know what functions a package has? Check there. Want to see what is in that data frame, se... [Read more...]
Rescuing Twapperkeeper Archives Before They Vanish
A couple of years or so ago, various JISC folk picked up on the idea that there might be value in them thar tweets and started encouraging the use of Twapperkeeper for archiving hashtagged tweets around events, supporting the development of that service in exchange for an open source version ... [Read more...]
"With the the increasing availability of complicated alternative investment strategies to both retail…"
“With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as import... [Read more...]
LondonR recap
The biggest and perhaps best meeting yet. The talks James Long: “Easy Parallel Stochastic Simulations using Amazon’s EC2 & Segue”. This was a lively talk about James’ package to use Amazon’s cloud to speed up a (huge) call to lapply. The good part is that if you want to ...
Global Volcanic Eruptions
What volcanoes are currently erupting across the globe, you ask? Building on an earlier post of global earthquakes, we can scrape some weekly data from the Smithsonian/USGS Global Volcanism Program to plot the locations of actively erupting ...
LondonR, 6 December 2011
The London R user group met again last Wednesday at the Shooting Star pub. And it was busy. More than 80 people had turned up. Was it the free beer and food, sponsored by Mango which attracted the folks or the speakers? Or the venue? James Long, who or...
Improved Moving Average using intra-day EUR/USD FOREX
Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos
Fotis
Quantitative Finance & Technical Trading
Improved Moving Average using intra-day EUR/USD FOREX(Fotis, Reason for Edit: Sample Dates Added) Hi everyone, Here we present the graphical illustrations from two cases that our improved moving average method provides better results compared ... [Read more...]
Using R to create a logo: Simple
R user Josh Reich, who we've featured here on the blog before, is also the CEO and co-founder of the new user-friendly bank, Simple. (Confidential to Josh -- still waiting on my invite...). So it's no suprise that Simple's logo is rendered using the R language: wave [Read more...]
A Tale of Two Frontiers
In a follow up to Evolving Domestic Frontier, I wanted to explore the efficient frontier including international indexes since 1980. Life is great when your primary indexes (Barclays Aggregate and S&P 500) lie on the frontier as they did 1980...
In case you missed it: November roundup
In case you missed them, here are some articles from November of particular interest to R users. R 2.14 now includes SVG support for Windows. The submissions for the Applications of R in Business contest are available for viewing online. A tutorial on using the Rdatamarket package to import public datasets ... [Read more...]
Stability of classification trees
Classification trees are known to be unstable with respect to training data. Recently I have read an article on stability of classification trees by Briand et al. (2009). They propose a quantitative similarity measure between two trees. The method is i...
Running your R and LaTeX Infrastructure from a portable USB Drive
On my road to eventually running all of my programs off an USB device I’ve gotten a little bit closer yesterday thanks to input from Duncan Murdoch and Yihui Xie. Eventually running the entire Windows OS off a USB drive would be nice (not talking about running it as ... [Read more...]
MCMC chain analysis and convergence diagnostics with coda in R
Last week, I gave a seminar about MCMC chain analysis and convergence diagnostics with coda in R, and I thought a summary would make a nice post. As a prerequisite, we will use a few lines of code, very similar to a previous post on MCMC sampling. In the code, ... [Read more...]
RInside 0.2.5
RInside 0.2.5
arrived on CRAN earlier today.
RInside is a set of
convenience classes which facilitate embedding of R
inside of C++ applications and programs, using the classes and functions provided by the
Rcpp R and C++
integration package.
The ... [Read more...]
Simple and Profitable
The end of the month effect was examined by MarketSci in the The Last Day of the Month Blahs post. The idea is simple: buy on the last day of the month and sell a few days later. This idea was put into a strategy by Quanting Dutchman in the ... [Read more...]
Forbes: Big Data needs to earn its keep
Dan Woods at Forbes makes a salient point about Big Data: it's not good enough merely to spend a ton of money to collect and store data -- it needs to earn its keep via data analysis: Let’s say you buy a huge Hadoop cluster along with Revolution Analytics, ... [Read more...]
Le Monde puzzle [#752]
After a loooong break, here is one Le Monde mathematical puzzle I had time to look at, prior to going to Dauphine for a Saturday morning class (in replacement of my R class this week)! The question is as follows: A set of numbers {1,…,N} is such that multiples of 4 ... [Read more...]
Code Optimization: One R Problem, Thirteen Solutions – Now Sixteen!
Introduction The old r-wiki optimisation challenge describes a string generation problem which I have bloged about previously both here and here. The Objective To code the most efficient algorithm, using R, to produce a sequence of strings based on a single integer input, e.g.: Solutions One Through Thirteen A ... [Read more...]
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