In the prior post, Factor Attribution 2, I have shown how Factor Attribution can be applied to decompose fund’s returns in to Market, Capitalization, and Value factors, the “three-factor model” of Fama and French. Today, I want to show you a different application of Factor Attribution. First, let’s run Factor Attribution on each the stocks 
A new release of the RcppBDT package appeared on CRAN earlier today.
RcppBDT uses Rcpp, and in particular the nifty Rcpp modules feature of wrapping C++ code for R just by declaring the (class or function) interfaces. It uses this to bring in some useful functions from Boost Date.Time to R so that one can do things like
R> library(RcppBDT) R> sapply(2012:2016, function(year) +...
News is starting to leak that the Large Hadron Collider may have accomplished its primary mission of confirming the existence of the hypothesised and heretofore elusive subatomic particle, the Higgs Boson. And sure, billions of Euros worth of state-of-the-art high-energy machinery and an army of experimental and theoretical physicists probably had something to do with the discovery. But did...
I recently posted about coefficient plots, discussing my approach and providing some example R code to create the graphs. I had the good fortune of hearing Amanda Driscoll give a talk recently, and she made a small, but really nice … Continue rea...
The ggplot2 package provides an excellent platform for data visualization. One (minor) drawback of this package is that combining ggplot images into one plot, like the par() function does for regular plots, is not a straightforward procedure. Fortunately, R user Stephen Turner has kindly provided a function called “arrange” that does exactly this. The function, 
The knitr package provides an easy way to embed R code in a Jekyll-Bootstrap blog post. The only required input is an R Markdown source file. The name of the source file used to generate this post is 2012-07-03-knitr-jekyll.Rmd, available here. Steps taken to build this post are as follows:
Create a Jekyll-Boostrap blog if...
At the R in Finance conference Paul Teetor gave a fantastic talk about Fast(er) R Code. Paul mentioned the common higher-order function Reduce, which I hadn't used before. Reduce allows me to apply a function successively over a vector. What does that...
Conrad releaser version 3.2.3 of Armadillo a few days ago, and the corresponding RcppArmadillo package 0.3.2.3 is now CRAN. (For these keeping score 3.2.1 never was a full release, and 3.2.2 containing fixes for a build issue that did not affect the ...
R is an incredibly comprehensive statistics package. Even if you just look at the standard R distribution (the base and recommended packages), R can do pretty much everything you need for data manipulation, visualization, and statistical analysis. And for everything else, there's more than 5000 packages on CRAN and other repositories, and the big-data capabilities of Revolution R Enterprise....
Following the crash of my hard drive right before leaving Kyoto, I bought a cheap Compaq Presario CQ57 to reinstall Ubuntu 12.04 over the weekend (and have a laptop available before leaving for Australia…) It took about one hour to install from the DVD and everything seems to be working out of the box. The 
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
