Monthly Archives: June 2012

Volatility Quantiles

June 4, 2012
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Volatility Quantiles

Today I want to examine the performance of stocks in the S&P 500 grouped into Quantiles based on one year historical Volatility. The idea is very simple: each week we will form Volatility Quantiles portfolios by grouping stocks in the S&P 500 into Quantiles using one year historical Volatility. Next we will backtest each portfolio

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Applications of R in Government

June 4, 2012
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Following the announcement of the US Government Big Data Initiative, I was asked to write a small article about applications of R in government. The article has just appeared in Government Security News (and I believe will appear in their daily newsletter tomorrow). In the article, I highlighted several R applications that been highlighted here in the blog: In...

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Download and parse EDHEC hedge fund indexes

June 4, 2012
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Download and parse EDHEC hedge fund indexes

In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be

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Longevity and mortality dynamics with R

June 4, 2012
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Longevity and mortality dynamics with R

Following the previous post on life contingencies and actuarial models in life insurance, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The second part of the talk (on Actuarial models with R) will be dedicated to longevity and mortality. A complete...

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Announcing RPubs: A New Web Publishing Service for R

June 4, 2012
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Announcing RPubs: A New Web Publishing Service for R

Today we’re very excited to announce RPubs, a free service that makes it easy to publish documents to the web from R. RPubs is a quick and easy way to disseminate data analysis and R code and do ad-hoc collaboration with peers. RPubs documents are based on R Markdown, a new feature of knitr 0.5 and RStudio 0.96. To publish

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Longevity and mortality dynamics with R

June 4, 2012
By
Longevity and mortality dynamics with R

Following the previous post on life contingencies and actuarial models in life insurance, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial En...

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Extracting an image chunk from a collection of Large MrSid Images

June 4, 2012
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Recently needed to extract a small "chunk" from a collection of adjacent MrSid mosaics, each about 4Gb in size. Once again, GDAL came to the rescue, and saved much time and agony wile working with very large, compressed, and proprietary-format files. T...

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Generate Quasi-Poisson Distribution Variable

June 4, 2012
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Most of regression methods assume that the response variables follow some exponential distribution families, e.g. Guassian, Poisson, Gamma, etc. However, this assumption was frequently violated in real world data by, for example, zero-inflated overdispersion problem. A number of methods were developed to deal with such problem, and among them, Quasi-Poisson and Negative Binomial are the most popular methods perhaps due...

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Announcing The R markdown Package

June 4, 2012
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Many of you have heard about RStudio’s latest release and it’s new R Markdown feature. Today, I’d like to announce the markdown package for R, a tool for converting Markdown documents to HTML, created in collaboration with RStudio. It...

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Messy matters explores the probability of winning of basketball…

June 4, 2012
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Messy matters explores the probability of winning of basketball…

Messy matters explores the probability of winning of basketball game when you’re ahead by x points y minutes before the end of the game.

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