Monthly Archives: March 2012

Futures price prediction using the order book data

March 5, 2012
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Futures price prediction using the order book data

It has been a couple of months since my last post; busy with lots of projects.I had some fun playing around with data from Interactive Brokers API.  It turns out that it is relatively easily to get hold of the raw market data relating to both trades and order book changes for CME/NYMEX commodity futures.  For the purposes of...

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New R User Groups in Lithuania, Birmingham, Taiwan

March 5, 2012
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Three new local R user groups to add to the list today: from Lithuania, Taiwan, and Birmingham (UK). The Chinese Academy of R Software (CARS) serves R users in Taipei (Taiwan). It has been approved by the Ministry of the Interior of Taiwan, and has more than 500 "likes" on its Facebook page. The Birmingham R Users Meeting (with...

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Dr Sanjiv Das presents "Using R for Analyzing Loans, Portfolios and Risk"

March 5, 2012
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In a free webinar tomorrow at 10AM Pacific, Professor of Finance Dr Sanjiv Das will present, "Using R for Analyzing Loans, Portfolios and Risk: From Academic Theory to Financial Practice". I saw a version of Dr Das's talk a couple of months ago at the Bay Area R User Group meeting, and it was outstanding. I particularly recall his...

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Montreal R workshop on Causal Inference

March 5, 2012
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Montreal R workshop on Causal Inference

Monday, March 05, 2012  14h-16h N4/17 Stewart Biology Building, McGill University Prof. Bill Shipley from Université de SherbrookeTopicsStructural equation modelling Graphical models for understanding causal analysis Testing for goodness of fit...

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Interview: Patrick Burns Quantitative Finance in R

Interview: Patrick Burns Quantitative Finance in R

Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written m...

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The shadows and light of models

March 5, 2012
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The shadows and light of models

How wide is the darkness? Uses of models The main way models are used is to: shine light on the “truth” We create and use a model to learn how some part of the world works. But there is a another use of models that is unfortunately rare — a use that should be common … Continue reading...

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Plot maps like a boss

March 5, 2012
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Plot maps like a boss

A new package OpenStreetMap has been released to CRAN this week which is designed to allow you to easily add satellite imagery, or open street maps to your plots. Raster maps are a great way to add context to your spatial data with a minimum outlay of effort. The syntax in OpenStreetMap is fairly simple, just give

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BerkeleyEarth Version 1.6

March 5, 2012
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BerkeleyEarth Version 1.6

Version 1.6 has just been submitted to CRAN and I will post the source here in the dropbox. Version 1.6 will probably be stable for a long time unless I find a bug. The main additions I made were adding a few functions to make some things easier, and I converted two files–flags and sources–

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ThinkStats … in R (including Example 1.2)

March 4, 2012
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ThinkStats (by Allen B. Downey) is a good book to get you familiar with statistics (and even Python, if you’ve done some scripting in other languages). I thought it would be interesting to present some of the examples & exercises in the book in R. Why? Well, once you’ve gone through the material in a

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DEoptim in Parallel

March 4, 2012
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Running DEoptim in parallel has been on the development team's wishlist for awhile.  It had not been a priority though, because none of us have personally needed it.  An opportunity arose when Kris Boudt approached me about collaborating to a...

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