4695 search results for "git"

Combining Eugene Fama, rCharts, dygraphs, and scholar

October 25, 2013
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Combining Eugene Fama, rCharts, dygraphs, and scholar

What better way to end the week than to dump a lot of random topics into some experiments.  Here is what happened.

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Equity Market Risk Premium Around the World

October 25, 2013
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Equity Market Risk Premium Around the World

Over the years I have really enjoyed this very thorough IESE Business School survey of market risk premium around the world. Market Risk Premium and Risk Free Rate Used for 51 Countries in 2013A Survey with 6,237 Answers Fernandez, Pablo and Aguirream...

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xkcd: A webcomic of the internet, small talk, meta discussions, and whimsical phantasmagoria

October 25, 2013
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xkcd: A webcomic of the internet, small talk, meta discussions, and whimsical phantasmagoria

I've recently rediscovered my affection for xkcd , and what better way to show it than to perform a data analysis on the comic's archives. In this post, we use Latent Dirichlet Allocation (LDA) to mine for topics from xkcd strips, and see if it live...

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The case for data snooping

October 25, 2013
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The case for data snooping

When we are backtesting automated trading systems, accidental data snooping or look forward errors are an easy mistake to make. The nature of the error in this context is making our predictions using the data we are trying to predict. Typically, it comes from a mistake with our calculations of time offsets somewhere. However, it can be a...

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Table as an Image in R

October 24, 2013
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Table as an Image in R

Usually, it's best to keep tables as text, but if you're making a lot of graphics, it can be helpful to be able to create images of tables.PNG tableCreating the TableAfter loading the data, let's first use this trick to put line breaks between the leve...

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An OpenBLAS-based Rblas for Windows 64: Step-by-step

October 24, 2013
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As a result of my previous post, I’ve had a number of requests to describe how I compiled the BLAS, so I’ll do so below. Of course, the necessary caveats, I am not a programmer nor do I play one on the radio so I probably cannot debug any issue anyone may have. Use the Read the full...

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ISO Popularity on Flickr Explore

October 24, 2013
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ISO Popularity on Flickr Explore

Not finance, but I figured there might be some out there interested in the pictures from Flickr’s Explore.  In addition to amazing photography, there is an abundance of information.  In the short post below, I use R with rCharts, slidify, and Rflickr to take a look at the distribution of ISO speeds over the last 3 days'...

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Introducing the CRAN Repository Policy Watch

October 23, 2013
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CRAN is the repository network for R. It is a resounding success with (as of right now) almost 5000 packages, and growth rate which has been estimated (cf John Fox's keynote at useR! a few years ago) to be near 40% per year. We as R community membe...

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Update for Backtesting Asset Allocation Portfolios post

October 23, 2013
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Update for Backtesting Asset Allocation Portfolios post

It was over a year since my original post, Backtesting Asset Allocation portfolios. I have expanded the functionality of the Systematic Investor Toolbox both in terms of optimization functions and helper back-test functions during this period. Today, I want to update the Backtesting Asset Allocation portfolios post and showcase new functionality. I will use the

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Overfitted Backtests

October 23, 2013
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Overfitted Backtests

It has been a while since I discussed testing for overfitting in backtests.  Since then, Marcos López de Prado and coauthors have done some very thoughtful work (see the bottom), and they even started a blog.  Their newest paper builds on discoveries they made in their earlier work, and...

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