Monthly Archives: January 2012

Trading using Garch Volatility Forecast

January 5, 2012
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Trading using Garch Volatility Forecast

Quantum Financier wrote an interesting article Regime Switching System Using Volatility Forecast. The article presents an elegant algorithm to switch between mean-reversion and trend-following strategies based on the market volatility. Two model are examined: one using the historical volatility and another using the Garch(1,1) Volatility Forecast. The mean-reversion strategy is modeled with RSI(2): Long when

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Scraping R-bloggers with Python – Part 2

January 5, 2012
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In my previous post I showed how to write a small simple python script to download the pages of R-bloggers.com. If you followed that post and ran the script, you should have a folder on your hard drive with 2409 .html files labeled post1.html , post2....

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Coat of arms of Poland challenge

January 5, 2012
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Coat of arms of Poland challenge

Last week I have experimented with coloring map of Poland in national colors. Vaidotas Zemlys improved on my effort by adding colors to map of Lithuania and posted a challenge to also add coat of arms to the plot. This proved to be a nice exe...

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getting ICES 1903-1949 catch statistics into R

January 5, 2012
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getting ICES 1903-1949 catch statistics into R

in the last post i showed how to get the nominal north east atlantic landings data from 1950 onwards into a usable format in R. this time around a script that shows how to import zipped excel files from 1903 to 1949 is provided. finalizing with a ggplo...

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Example 9.18: Constructing the fastest relay team via enumeration

January 5, 2012
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Example 9.18: Constructing the fastest relay team via enumeration

In competitive swimming, the medley relay is a team event in which four different swimmers each swim one of the four strokes: freestyle, breaststroke, backstroke, and butterfly. In general, every swimmer might be able swim any given stroke. How can w...

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Revisiting basic macroeconomics : Illustrations with R

January 5, 2012
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Revisiting basic macroeconomics : Illustrations with R

PrologueAfter 3 semesters of studying economics at IGIDR, the basics of macroeconomics still elude me. What policy shifts what curve? What determines the slope of IS-LM and AD-AS curves? What exactly was Keynes contribution to Economics? How do all the...

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Survey: Writing package vignette

January 5, 2012
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Survey: Writing package vignette

I am currently co-writing the vignette for the ChainLadder package and wonder what I should be focusing on. I have co-written the vignette of the googleVis package in the past and based it purely and what I thought would work. So, this is an experiment...

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Good at applying R? Be a Sales Engineer!

January 5, 2012
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Revolution Analytics is hiring! We're looking for a Sales Engineer -- someone who can show Revolution R to potential customers and really show off what R can do in an applied setting. (Fun fact: this was my first job when I left university, and it's a lot of fun.) The job description is below, please pass it along to...

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Working with data frames

January 5, 2012
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R, just like other programming languages, has different types of objects. Matrices, arrays, data.frames, lists, vectors, tables, etc. But by far the most important for working with baseball data is going to be dataframes.I'm not sure of the level of ex...

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New Year’s Resolution: Learn How to Code

January 5, 2012
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Farhad Manjoo at Slate has a good article on why you need to learn how to program. Chances are, if you're reading this post here you're already fairly adept at some form of programming. But if you're not, you should give it some serious thought.Gina Trapani, former editor of tech blog Lifehacker, is quoted in the article:“Learning...

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