Monthly Archives: May 2012

Facebook-class social network analysis with R and Hadoop

May 25, 2012
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Facebook-class social network analysis with R and Hadoop

In computing, social networks are traditionally represented as graphs: a connection of nodes (people), pairs of which may be connected by edges (friend relationships). Visually, the social networks can then be represented like this: Social network analysis often amounts to calculating the statistics on a graph like this: the number of edges (friends) connected to a particular node (person),...

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Forecasting: Principles and Practice

May 25, 2012
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Forecasting: Principles and Practice is the title of a new book by Rob Hyndman and George Athanasopoulos.As Rob says on his webpage:"The book is dif­fer­ent from other fore­cast­ing text­books in sev­eral ways. It is free and online, mak­ing it acces­si­ble to a wide audience. It is based around the fore­cast pack­age for R. It...

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Monitor: Adding "RER" and "RPD" statistics

May 25, 2012
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Monitor: Adding "RER" and "RPD" statistics

I continue developing the Monitor function in R. The idea is to get statistics which help me to understand the performance of my model.Of course the validation set must be free of outliers (X or Y).I add this time two new statistics: RER and ...

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A course in statistical programming

May 25, 2012
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A course in statistical programming

Graduate students in statistics often take (or at least have the opportunity to take) a statistical computing course, but often such courses are focused on methods (like numerical linear algebra, the EM algorithm, and MCMC) and not on actual coding. For example, here’s a course in “advanced statistical computing” that I taught at Johns Hopkins

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Trend Following Factors from Hsieh and Fung

May 25, 2012
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Trend Following Factors from Hsieh and Fung

The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast.  In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge F...

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Introduction to R

May 25, 2012
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Introduction to R

I am happy to repost the information I got about the course “Introduction to R” that will be organized by Milano R net in collaboration with Quantide. The course will be held in Milano, Italy, June 7-8, 2012, and is intended to introduce the unexperienced user to R. For furhter info visit milano R net

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Temperature reconstruction with useless proxies

May 25, 2012
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Temperature reconstruction with useless proxies

In a number of previous posts I considered the temperature proxies that have been used to reconstruct global mean temperatures during the past millenium. In this post I want to show how such a temperature reconstruction would look like if the proxies had no relation at all to the actual temperatures. The motivation is the

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Quick View on Correlations of Different Instruments

May 24, 2012
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Quick View on Correlations of Different Instruments

In this post, I will demonstrate how to quickly visualize correlations using the PerformanceAnalytics package. Thanks to the package creators, it is really easy correlation and many other performance metrics. The first chart looks at the rolling 252 day correlation of nine sector ETFs using SPY as the benchmark. As expected the correlation is rather … Continue reading...

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Grexit stage left: visualizing the online discussion around Greece’s possible Euro exit

May 24, 2012
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Grexit stage left: visualizing the online discussion around Greece’s possible Euro exit

  While Tsipras and his Syriza coalition have been busy in Greek parliament, the Internet has been a-buzz with speculation that their platform will result in a Greek exit from the Euro currency.  This prospect, affectionately dubbed “Grexit” by Citi… Read more ›

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French dataset: population and GPS coordinates

May 24, 2012
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French dataset: population and GPS coordinates

A short post today based on recent work by @3wen (Ewen Galic, graduate Student in Rennes, spending a year in Montreal). Since we were working on a detailed French dataset (per commune), we needed a dataset containing a list all communes, with popu...

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