3553 search results for "git"

Pretty Correlation Map of PIMCO Funds

June 14, 2012
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Pretty Correlation Map of PIMCO Funds

As PIMCO expands beyond fixed income, I thought it might be helpful to look at correlation of PIMCO mutual funds to the S&P 500.  Unfortunately due to the large number of funds, I cannot use the chart.Correlation from PerformanceAnalytics.&nbs...

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Recent R packages for ecology and evolution

June 14, 2012
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Many R packages/tools have come out recently for doing ecology and evolution. All of the below were described in Methods in Ecology and Evolution, except for spider, which came out in Molecular Ecology Resources. Here are some highlights.mvabund pap...

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Rook Tutorial at useR! 2012

June 13, 2012
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Rook Tutorial at useR! 2012

I had such a blast presenting my tutorial on Rook yesterday. Thanks go out to all who attended!All the slides are online here and I’ll be updating my RookTutorial github project with all the great suggestions I got from the attendees.Also, check back soon as I’m planning more postings on Rook.Cheers!

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In case you missed it: May 2012 Roundup

June 13, 2012
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In case you missed them, here are some articles from May of particular interest to R users. R tops the annual KDNuggets Data Mining Software poll for the first time. R 2.15.1 is scheduled for June 22. (Revolution R Enterprise 6, released on June 5, is based on 2.14.2.) A tutorial uses R, Hadoop, and the RHadoop project to...

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Statistics of Drawdown–paper and post

June 11, 2012
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Statistics of Drawdown–paper and post

Thank so much to Patrick Burns’ post Variability in maximum drawdown.  He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult.  After spending a lot of time thinking about ...

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Volatility Position Sizing 2

June 11, 2012
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Volatility Position Sizing 2

I have discussed Volatility Position Sizing in the Volatility Position Sizing to improve Risk Adjusted Performance post using the Average True Range (ATR) as a measure of Volatility. Today I want show how to use historical volatility to adjust portfolio leverage. Let’s start with Buy and Hold strategy using SPY and rescale it to the

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Time series cross-validation 4: forecasting the S&P 500

June 11, 2012
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Time series cross-validation 4: forecasting the S&P 500

I finally got around to publishing my time series cross-validation package to github, and I plan to push it out to CRAN  shortly.You can clone the repo using github for mac, for windows, or linux, and then run the following script to...

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Data distillation with Hadoop and R

June 11, 2012
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Data distillation with Hadoop and R

We're definitely in the age of Big Data: today, there are many more sources of data readily available to us to analyze than there were even a couple of years ago. But what about extracting useful information from novel data streams that are often noisy and minutely transactional ... aye, there's the rub. One of the great things about...

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Simulating Euro 2012

June 11, 2012
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Simulating Euro 2012

Why settle for just one realisation of this year’s UEFA Euro when you can let the tournament play out 10,000 times in silico? Since I already had some code lying around from my submission to the Kaggle hosted 2010 Take on the Quants challenge, I figured I’d recycle it for the Euro this year. The

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R becomes a critical tool in government departments

June 10, 2012
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R becomes a critical tool in government departments

Situation and Outlook for Primary Industries (2012) just published by New Zealand’s Ministry for Primary Industries (click to download page) demonstrates well that R is a limitless tool for analysis and graphing, and the capability of using R is growing in … Continue reading →

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