I was amazed and delighted by the Reconstruct Gene Networks Using Shiny. Jeff accomplished what I knew was possible but had absolutely no idea how to implement. With the boost, I went to work combining his d3 force layout with my d3 experim...
Blog Archives
Apple Compared to Others with ggthemes
For a happy person delightfully concentrated in Apple, I wanted to show Apple’s performance versus Microsoft and Cisco in decades 1(1990-2000) and 2 (2000-2012). I thought this would give me a good chance to try out the very interesting work be...
Drawdown Determined Position Size
This caught my eye as I searched for some more academic research on my favorite risk measure drawdown. Yang, Z. George and Zhong, Liang,Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February ...
Unbelievable and Amazing R Shiny–Web Parameter Test in 1.5 Hours
Life keeps getting better and better. Yesterday, I discovered the absolutely unbelievable and amazing work RStudio has done with Shiny employing one of my favorite R packages websockets. As proof of the ease and quality, within a couple of ...
Cash–Opportunity Lost or Opportunity Gained
Tom Brakke from http://researchpuzzle.com/ wrote a great thought piece Cash as Trash, Cash as King, and Cash as a Weapon for the CFA Institute blog. My favorite part comes in the last paragraph: “That’s the kind of analysis that should be br...
Resurrect Posts on Japan and the Yen
As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites. Japan Trade by Geographic RegionJapanese Trade and the YenJapan Intentional or...
Japanese Government Bond (JGB) Data Since 1974
The Ministry of Finance Japan very generously provides data on JGBs back to 1974. Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):
Life on the Big International Frontier
Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) "Size, Value, and Momentum in International...
Not Much of a Grand Finale. What if We Go To 0?
When I ask the question “What if the US 10 year goes to 0?", most do not know the effect, the catalyst, or if 0 has ever happened before. The math is fairly simple to do in Excel or with an old-school calculator, but let’s use RQuantLib to do...
Emerging as Low Vol
Extending the series begun with When Russell 2000 is Low Vol, I thought I should take a look at Emerging Market stocks during periods of low relative volatility to the S&P 500. So you can replicate even without access to expensive data, let
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
