# Monthly Archives: November 2012

## Simulating Multiple Asset Paths in R

November 5, 2012
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$Simulating Multiple Asset Paths in R$

I recently came across the Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios by W. Sun, A. Fan, L. Chen, T. Schouwenaars, M. Albota paper that examines the cost of different rebablancing methods. For example, one might use calendar rebalancing: i.e. rebalance every month / quarter / year. Or one might use threshold rebalancing:

## Quick Post About Getting and Plotting Polls in R

November 5, 2012
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With the election nearly upon us, I wanted to share an easy way I just found to download polling data and graph a few with ggplot2. dlinzer at github created a function to download poll data from the Huffington Post's Pollster API.The default is to dow...

## Another look at ideology of the US congress

November 5, 2012
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In response to last week's post on the rapidly increasing ideology of the US Republican Party, Mike Lawrence suggested another way of looking at the DW-NOMINATE ideology data. Rather than simply looking at boxplots of the congress scores by party over time, we could fit a smooth curve to get a better sense of the trends over time. Mike...

## RInside 0.2.9

November 5, 2012
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A new version 0.2.9 of RInside arrived on CRAN earlier today; Windows binaries have already been built too. RInside provides a set of convenience classes which facilitate embedding of R inside of C++ applications and programs, using the classes and ...

## OOP with Rcpp modules

November 5, 2012
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The purpose of Rcpp modules has always been to make it easy to expose C++ functions and classes to R. Up to now, Rcpp modules did not have a way to declare inheritance between C++ classes. This is now fixed in the development version, and t...

## Network visualization in R with the igraph package

November 5, 2012
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In this post I showed a visualization of the organizational network of my department. Since several people asked for details how the plot has been produced, I will provide the code and some extensions below. The plot has been done … Continue reading

## If we truly want to foster collaboration, we need to rethink the “independence” criteria during promotion

November 5, 2012
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When I talk about collaborative work, I don’t mean spending a day or two helping compute some p-values and end up as middle author in a subject-matter paper. I mean spending months working on a project, from start to finish, with experts … Continue reading

## Retrieving the VIX term structure in R

November 5, 2012
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Much of my time lately has gone into analyzing and trading products in the volatility complex.  As a result, I regularly watch the VIX term structure for continuations or deviations from trend.  To make analysis simpler, I’ve written some

## Multi-stage sampling together with hierarchical/ mixed effects models: which packages?

November 5, 2012
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Dear R experts, I sent this question to the r-help list but didn’t get much response, probably because it is more of a stats question. But as this blog is syndicated on r-bloggers I thought I would try it again here on this blog. If I am barking up the wrong tree, feel free to