Monthly Archives: April 2012

April 24, 2012
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Following my previous post about rewriting my code to run in parallel I have modified the code for downloading the S&P 500 prices from Yahoo to run i parallel as well. To be honest, I quite enjoy writing the code to run in parallel. It's fun for various reasons, but some theoretical background is highly

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

April 23, 2012
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Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility Filter. In this follow up, I will take a closer look at the individual trades of each strategy. This may provide valuable information to explain the difference in performance of the SMA … Continue reading...

Project Euler…in LaTeX?

April 23, 2012
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I've been joking for a while now that I was going to start solving project euler problems in LaTeX.  Then today I finally did one.  So let's talk about solving Project Euler problem number 1 (the easy one) using only LaTeX. The problem asks you to sum up all the positive integers below 1000 which are divisible by 3...

Complex arithmetic and airplane wings

April 23, 2012
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$Complex arithmetic and airplane wings$

I was once told that the reason that such a shape was so commonly used for aeroplane wings was merely that then one could study it mathemtically by just employing the Zhoukowski transformation. I hope that this is not true! (R. Penrose, “The Road to Reality”, p.150) Penrose here talks about a complex holomorphic mapping

Drawdown Look at Frontier of Assets and Systems

April 23, 2012
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In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...

Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

April 23, 2012
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In this short post I take a look at how to use R and ggplot2 to visualize effect sizes (Cohen’s d) and how to shade the overlapping area of two distributions.

Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

April 23, 2012
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Update: I have created an interactive effect size visualization here Introduction to effect sizes Many times you read in a study that “x and y were significantly different, p < .05”, which is another way of saying that “assuming that the null hypothesis is true, the probability of getting the observed value simply by chance alone is less than 0.05” But that’s not really...

April 23, 2012
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A few days ago, Andrew Barr had a great post on his blog. It was titled, "R is not just for nerds....it has drop-down menus!" You can bet that this one caught my eye when it was re-posted on R-Bloggers.Briefly, Andrew takes us through the installation and basic use of the Java Gui for R (JGR) in...

Introduction to Oracle R Connector for Hadoop

April 23, 2012
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MapReduce, the heart of Hadoop, is a programming framework that enables massive scalability across servers using data stored in the Hadoop Distributed File System (HDFS). The Oracle R Connector for Hadoop (ORCH) provides access to a Hadoop cluster from R, enabling manipulation of HDFS-resident data and the execution of MapReduce jobs. Conceptutally, MapReduce is similar...

Talk on quantiles at the R Montreal group

April 23, 2012
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This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the gr...