Monthly Archives: November 2012

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… Read more ›

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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

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Plotting letters as shapes in ggplot2

November 5, 2012
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Plotting letters as shapes in ggplot2

This post is a little more esoteric than most, but I found myself needing to solve this problem, so I’m just passing the solution on to you. The plot above shows the distribution of DW-NOMINATE scores for the 18th Congress, with party indicated ...

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An easy mistake with returns

November 5, 2012
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An easy mistake with returns

When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix of returns over time to compute the (long-term) portfolio return. “A tale of two returns” tells us that aggregation over time is easiest to do in … Continue reading...

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Why the 2012 US elections are more exciting than 2008

November 4, 2012
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Why the 2012 US elections are more exciting than 2008

Here’s an addition to my last post on using Wikipedia data to analyse attention for the US presidential elections 2012. Here’s another look at the interest not for the candidates’ Wikipedia pages but the general pages for the elections 2008 and 2012. Compared to the candidates’ pages, the attention for the general

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Picturing Trees

November 4, 2012
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Picturing Trees

  In this post I like to illustrate the R package “ape” for phylogenetic trees for the purpose of assembling trees. The function read.tree creates a tree from a text description. For example the following code creates and displays two … Continue reading →

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Finishing football postings

November 4, 2012
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For now this is the last post about these football data. It started in August, by now it is November. But just to finish up; the model as it should have been last week.ModelAs most of what I did is described last week, only the model as it went in Jags...

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Sunday Data/Statistics Link Roundup (11/4/12)

November 4, 2012
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Brian Caffo headlines the WaPo article about massive online open courses. He is the driving force behind our department’s involvement in offering these massive courses. I think this sums it up: `“I can’t use another word than unbelievable,” Caffo said. … Continue reading →

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Hello World!

November 4, 2012
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Eventually this will be a blog about a reformed physicist's forays into data analysis in the world of finance. I'll be using R, Python, d3 and anything else I can get my hands on to serve up some tasty nuggets of data!

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Plotting large amounts of atmospheric data

November 4, 2012
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Plotting large amounts of hourly atmospheric databody, td { font-family: sans-serif; background-color: white; font-size: 12px; margin: 8px; }tt, code, pre { font-family: 'DejaVu Sans Mono', 'Droid Sans Mono', 'Lucida Console',...

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