Monthly Archives: September 2012

Computing kook density in R

September 24, 2012
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Computing kook density in R

Do you ever see strange lights in the sky? Do you wonder what really goes on in Area 51? Would you like to use your R hacking skills to get to the bottom of the whole UFO conspiracy? Of course, you would!UFO data from infochimps is the focus of a dat...

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qgraph version 1.1.0 and how to simply make a GUI using ‘rpanel’

September 24, 2012
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qgraph version 1.1.0 and how to simply make a GUI using ‘rpanel’

Last week I have updated the ‘qgraph‘ package to version 1.1.0, available on CRAN now. Besides some internal changes (especially the self-loops have been substantially improved) the most important change is the addition of a GUI interface, which can be … Continue reading →

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The fear-index: is the VIX efficient to be warned about high volatility? (Finance & Systematic Processus)

September 24, 2012
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The fear-index: is the VIX efficient to be warned about high volatility?   (Finance & Systematic Processus)

Simple visually-weighted regression plots

September 24, 2012
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Simple visually-weighted regression plots

There has recently been a lot of discussion of so-called “visually-weighted regression” plots. Folk hero Hadley Wickham suggests that such plots would be easy to implement with ggplot2, and so I have attempted to prove him right. The approa...

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Volatility forecast evaluation in R

September 24, 2012
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Volatility forecast evaluation in R

In portfolio management, risk management and derivative pricing, volatility plays an important role. So important in fact that you can find more volatility models than you can handle (Wikipedia link). What follows is to check how well each model performs, … Continue reading →

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New Zealand school performance: beyond the headlines

September 24, 2012
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New Zealand school performance: beyond the headlines

I like the idea of having data on school performance, not to directly rank schools—hard, to say the least, at this stage—but because we can start having a look at the factors influencing test results. I imagine the opportunity in … Continue reading →

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Variance targeting in garch estimation

September 24, 2012
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Variance targeting in garch estimation

What is variance targeting in garch estimation?  And what is its effect? Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series The last two of these show the variability of garch estimates on simulated series where we know the right answer.  In response to … Continue reading...

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Popularity indicator, with images (NFL)

September 23, 2012
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Popularity indicator, with images (NFL)

It’s Friday night, there’s nothing good on TV, mmm conditions are perfect for shaggin about in R. So I’m an NFL fan, and (shameless plug) avid fan of this NFL podcast. They run their own pickem league which unless users … Continue reading →

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Universal portfolio, part 11

September 23, 2012
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Universal portfolio, part 11

First an apology, the links to the Universal Portfolio paper have stopped working.  This is because the personal webpage of Thomas Cover at Stanford has been taken down, but fortunately the content moved elsewhere.  The new link is Universal ...

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Minimum Correlation Algorithm Example

September 23, 2012
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Minimum Correlation Algorithm Example

Today I want to follow up with the Minimum Correlation Algorithm Paper post and show how to incorporate the Minimum Correlation Algorithm into your portfolio construction work flow and also explain why I like the Minimum Correlation Algorithm. First, let’s load the ETF’s data set used in the Minimum Correlation Algorithm Paper using the Systematic

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