2127 search results for "twitter"

Open-sourcing some of my automation code

February 19, 2011
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Open-sourcing some of my automation code

To automate my trading I use a mix of scripts. Everything goes – R, Python, shell, C++, etc. For some time now I have been satisfied with the tools I have created. They run once a day, gather data from EODDATA, update the database, run some R magic to decide what needs to be done

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Parallel computation [permutations]

February 19, 2011
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Parallel computation [permutations]

François Perron is visiting me for two months from Montréal and, following a discussion about the parallel implementation of MCMC algorithms—to which he also contributed with Yves Atchadé in 2005—, he remarked that a deterministic choice of permutations with the maximal contrast should do better than random or even half-random permutations. Assuming p processors or

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R Bloggers: The Site I Wish Existed in 2007

February 19, 2011
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R Bloggers: The Site I Wish Existed in 2007

  My first experience with R was in 2007 as a sophomore in undergrad.  As part of a larger project on pricing day-ahead electricity futures, I wanted to cluster locational marginal price (LMP) data from the ISO-NE.  Something like k-means is easy … Continue reading →

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Some R Package Updates

February 18, 2011
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Packages for R are being added and updated so frequently now that it's tough to keep up with them all (the @CRANberriesFeed Twitter feed helps, though). But here are a couple of recent package updates that caught my eye: The Rcpp package for seamless integration between R and C++ has been updated. While most of the changes are under...

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Backtesting in Excel and R

February 17, 2011
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This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

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Backtesting in Excel and R

February 17, 2011
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This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

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Le Monde puzzle [#6]

February 17, 2011
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Le Monde puzzle [#6]

A simple challenge in Le Monde this week: find the group of four primes such that any sum of three terms in the group is prime and the overall sum is minimised. Here is a quick exploration by simulation, using the schoolmath package (with its imperfections): A=primes(start=1,end=53) lengthA=length(A) res=4*53 for (t in 1:10^4){ B=sample(A,4,prob=1/(1:lengthA)) sto=is.prim(sum(B))

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RSI(2) and the pre 80s Market

February 17, 2011
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RSI(2) and the pre 80s Market

In his detailed research on RSI(2) indicator, MarketSci emphasized several times that the contrarian strategies based on the RSI(2) indicator didn’t start working until the 80s. I remembered this observation recently when I observed another interesting anomaly … In statistics, an important initial step in studying time series data is to consider the auto correlation

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Top 15 Daily Tweeters of #25bahman for the Past Five Days

February 16, 2011
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Top 15 Daily Tweeters of #25bahman for the Past Five Days

My friend Michael Bommarito has been doing the data community quite a service, capturing and sharing all of the traffic on Twitter related to the Iranian protests. Specifically, he has all of the tweets containing the #25bahman hast-tag, and made them available for anyone to download. I am unable to resist the temptation to explore a

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The Egyptian Revolution, in tweets

February 16, 2011
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The Egyptian Revolution, in tweets

Twitter played a significant role in the recent uprising in Egypt, with protesters communicating via tweets marked with the #25bahman hastag (February 14 in the arabic calendar) to plan and rally for the demonstration. Michael Bommarito downloaded all such tweets and plotted their frequency over time using R's ggplot2 library: Not surprisingly, the activity peaked on February 14. The...

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