Monthly Archives: November 2012

The guts of a statistical factor model

November 12, 2012
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The guts of a statistical factor model

Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading...

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Portfolio Trading

November 12, 2012
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Portfolio Trading

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →

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Introduction to R and Biostatistics (2012 version): presentation

November 12, 2012
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Introduction to R and Biostatistics (2012 version): presentation

To follow my Introducing R and Biostatistics to first year LCG students (2012 version) post,  you can now find the presentation online from my site either in presentation format, in a single webpage format, or the raw Rmd file. To prove the point that publishing to RPubs is super easy, you can also find the single...

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PDQ 6.0 is On Its Way

November 12, 2012
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PDQ (Pretty Damn Quick) version 6.0.β is in the QA pipeline. Although this is a major release, cosmetically, things won't look any different when it comes to writing PDQ models. All the big changes have taken place under the hood in order to make PDQ more consistent with the R statistical environment. R version 2.15.2...

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"Sample Sets" plots (Shootout-2012)

November 11, 2012
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"Sample Sets" plots (Shootout-2012)

Histograms of all the sample sets together and individuallyRaw SpectraSpectra treated with MSC (Multiple Scatter correction)Spectra treated with SG filters

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How I cracked Troyis (the online flash game)

November 11, 2012
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How I cracked Troyis (the online flash game)

Troyis™ is an addictive online flash game where you move a chess knight through increasingly difficult puzzles. After hours and hours of playing, sometimes late into the night, I decided I'd waste even more of my time and write a little program tha...

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A thermometer in R using Arduino and Java

November 11, 2012
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A thermometer in R using Arduino and Java

A couple of weeks ago, Markus Gesmann demonstrated the feasability of connecting R and Arduino using Processing and Rserve in a nice and simple example. This actually rekindled my interest in Arduino that I hadn’t had time to satisfy…Again I will show a very easy and simple example, but this time, transferring the data between Arduino and R...

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How John Deere uses R

November 10, 2012
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HT: Revolution Analytics  Very good discussion about real applied econometrics and analytics including the use of ARIMA models, decision trees, and genetic algorithms. He also has a very smart approach in his attitude toward big data and data s...

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Temporal networks with igraph and R (with 20 lines of code!)

November 10, 2012
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In my last post about how a twitter conversation unfolds in time on Twitter, the dynamical nature of information diffusion in twitter was illustrated with a video of the temporal network of interactions (RTs) between accounts. The temporal evolution of … Continue reading →   Related posts: Temporal network of information diffusion...

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R Tips for Quantitative Trading

November 10, 2012
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The article below is an updated version of an article I wrote  for R-Bloggers in August 2010. As a first post I thought it was a good idea to introduce one of the best tool out there for quantitative  trading: R R is a free software environment for statistical computing and graphics. It compiles and

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