Monthly Archives: March 2013

renaming data frame columns in lists

March 3, 2013
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renaming data frame columns in lists

OK, so the scenario is as follows: we have a list of 2 elements which in turn are again lists with 2 elements (each of which is a data frame). None of the elements in question carry names (neither the … Continue reading →

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RMark: Parallel fast merging

March 3, 2013
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Last time we looked at a different method of merging multiple files via fast mergin g. I highly recommend checking the fast merging function before we will translate it to a parallel solution. Parallel programming in this case means we are using more t...

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All That Glitters

March 3, 2013
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All That Glitters

"The law itself follows Gold" Sextus Propertius.But what about stocks, bonds and real estate? Do they follow Gold too? Using the correlation data from my previous post, The Financial Crisis on Tape Part I, this question is easy to investigate. Indeed, ...

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Peace through Music. Country clustering using R and the last.fm API

March 3, 2013
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Peace through Music. Country clustering using R and the last.fm API

last.fm is an internet radio and music suggestion service. Registered users can also use last.fm to 'scrobble' tracks they've been listening to. last.fm then keeps track of a user's statistics in terms of top artists, albums and tracks.Luckily, last.fm...

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R 2.15.3 .deb packages now available for Ubuntu

March 3, 2013
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The latest version of R (2.15.3) is now available for Ubuntu. You can find the packages on CRAN or via my Launchpad PPA. Just before the release of 2.15.3, a patch for "r-base" was released dealing with MD5 sums in the package the caused some problem...

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What can we use the VIX for?

March 3, 2013
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What can we use the VIX for?

In part 1, we took a look at VIX and the relationship it had between historical volatility and realized volatility.Continuing on, I thought I would take a look at next day returns and the VIX. There is a relationship between SPX and VIX in that when SP...

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Digging into the VIX

March 3, 2013
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Digging into the VIX

I wanted to revisit using some sort of volatility filter for systematic trading. In particular, if we are trading SPX, can we somehow use the VIX to produce better risk adjust returns? This is not about trading volatility, but more about using addition...

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Occurrence of Alzheimer deaths in Netherlands

March 3, 2013
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Occurrence of Alzheimer deaths in Netherlands

I wanted to know a bit more about the number of people suffering from Alzheimer. It has been getting more attention and it runs in my family. From CBS (Statistics Netherlands) I pulled the data regarding the number of people dying from it. I am af...

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Has the NFL Combine’s 40 yard dash gotten faster ?

March 3, 2013
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Has the NFL Combine’s 40 yard dash gotten faster ?

Last week on one of my favourite podcasts, ESPN’s Football Today, Matt Williamson & Kevin Weidl discussed the standout prospects from the NFL Combine. A lot of the conversation was around how the 40 yard dash times have improved year on year due to better training technique and specific training for the combine activities. I

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Measuring the Intensity of Historical Crises with VaR

March 3, 2013
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Measuring the Intensity of Historical Crises with VaR

Adam Duncan, December 2012Also avilable on R-bloggers.com Prelude These posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written in a “walkthrough” style. All of the source...

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