Most profitable hedge fund style

April 21, 2012
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Most profitable hedge fund style

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading →

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R^2 Spectrum

April 21, 2012
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R^2 Spectrum

We have seen in the previous post, how to calculate the correlation spectrum, but other simple way to show  how the bands correlate to the constituent of interest is to calculate R^2. This way we remove the negative part of the correlation spectru...

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R is not just for nerds….it has drop-down menus!

April 20, 2012
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R is not just for nerds….it has drop-down menus!

JGR LogoThis post introduces how to use the Java Gui for R (JGR, pronounced Jaguar) along with the Deducer package (manual here) to get a fairly full featured graphical user interface for R.InstallationNote: Be sure you are logged into an account with ...

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Deducer.org reaches 250,000 page views and continues to grow

April 20, 2012
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Deducer.org reaches 250,000 page views and continues to grow

It is difficult for R package authors to know how much (if at all) their packages are being used. CRAN does not calculate or make public download statistics (though this might change in the relatively near future), so authors can't tell if 10 or 10,000 people are using their work. Deducer is in much the same boat.

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Revolution Newsletter: April 2012

April 20, 2012
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The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full April edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Spring Webinar Series. Our Spring Webinar Series features presentations from Revolution Analytics staff and...

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Reproducible Research: Export Regression Table to MS Word

April 20, 2012
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Reproducible Research: Export Regression Table to MS Word

Here's a quick tip for anyone wishing to export results, say a regression table, from R to MS Word:require(R2wd)# install packages required# install software RCOM, RDCOMClient # (I had to restart the R-Session after the above step to get it work)wdGet(...

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Sanitizing data in SAP HANA with R

Sanitizing data in SAP HANA with R

From April 10 to April 11, my team (Anne, Juergen and myself) host an InnoJam in Boston. It was a really great event, but the data provided by the City of Boston wasn't exactly in the best shape, so we took a lot of efforts (with a help of the SAP Guru...

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When R met SAP Gateway

When R met SAP Gateway

A couple of days ago, I was toying with the idea of doing something with SAP Gateway...I thought of using SUP, but as I recently wrote 2 blogs about it, I decided to go back to one of my favorite programming languages...R...So...Gateway can be consumed...

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Generating all subsets of a set

April 20, 2012
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Generating all subsets of a set

Recently I have calculated Banzhaf power index. I required generation of all subsets of a given set. The code given there was a bit complex and I have decided to write a simple function calculating it. As an example of its application I reproduce Figur...

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From the Guardian’s data blog: Visualising risk

April 20, 2012
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From the Guardian’s data blog: Visualising risk

The Guardian published a nice summary and link collection of an interdisciplinary visualisation workshop hosted by Microsoft dedicated to visualising probability and risk. Check it out here.OECD better life indexThe links I found most interesting were ...

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PhD week 7: Plotting and NIR spectroscopy

April 19, 2012
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PhD week 7: Plotting and NIR spectroscopy

Near-infrared (NIR) spectroscopy is a technique that measures the amount of heat absorbed or emitted by certain materials. It is used in a variety of applications, but in the agricultural world, it is often used to determine the quality and composition of mixed materials such as stock forage. It uses electromagnetic radiation...

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PostgreSQL, Excel, R, and a Really Big Data Set!

April 19, 2012
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PostgreSQL, Excel, R, and a Really Big Data Set!

At work I’ve started to work with the biggest data set I’ve ever seen!  First, let me qualify my use of the term “Big Data”.  The number of rows in the resultant data set (after much transformation and manipulation in … Continue reading →

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RcppArmadillo 0.3.0.2 released and on CRAN

April 19, 2012
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Earlier today, Conrad Sanderson released another bug-fix version 3.0.2 for the still fairly recent 3.0.0 version of his excellent Armadillo C++ template library for linear algebra. The new RcppArmadillo release 0.3.0.2 also appeared on CRAN this morn...

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Zurich, Mar 2012 – Rmetrics gldist Package

April 19, 2012
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(This article was first published on Rmetrics blogs, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: Rmetrics blogs. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web...

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Getting Historical Weather Data in R and SAP HANA

April 19, 2012
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For many of my latest data blogs, I needed historical weather data to perform data mash-ups to pin-point the cause.  For example, for my continued exploration into the airlines/airports historical data using SAP HANA and R, I wanted to find out wh...

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Simple tools for building a recommendation engine

April 19, 2012
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By Joseph Rickert Revolution’s resident economist, Saar Golde, is very fond of saying that “90% of what you might from a recommendation engine can be achieved with simple techniques”. To illustrate this point (without doing a lot of work), we downloaded the million row movie dataset from www.grouplens.org with the idea of just taking the first obvious exploratory step:...

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An R Script to Automatically download PubMed Citation Counts By Year of Publication

April 19, 2012
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An R Script to Automatically download PubMed Citation Counts By Year of Publication

Ever wanted to look at PubMed trends and make elegant graphs of them? Here’s an R script that will do it automatically for you.

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Tutorial: Using plot() function

April 19, 2012
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Tutorial: Using plot() function

Hello Readers! This is my first post as a member ofR-bloggers. In this post I'm going to talk about the basic plotting in R, fortwo dimensional. This is a tutorial for beginners in R.To begin with, let's define a vector first. Say wehave vector x, whic...

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Dummies for Dummies

April 19, 2012
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Dummies for Dummies

Most R functions used in econometrics convert factor variables into a set of dummy/binary variables automatically. This is useful when estimating a linear model, saving the user from the laborious activity of manually including the dummy variables as regressors. However, what if you want to reshape your dataframe so that it contains such dummy variables?

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Matrix vs Data Frame in R

April 19, 2012
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Today I ran into a double question that might be relevant to other R users: Why can’t I assign a dataframe row into a matrix row? And why won’t my function accept this dataframe row as an input argument? A … Continue reading →

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Adding a transparent image layer to a plot

April 19, 2012
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Adding a transparent image layer to a plot

The following example shows how to add a transparent image-type layer to a plot. The add.alpha function (below) simply adds transparency to a vector of colors which is then introduced in the "col" argument of an image plot. Read more »

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User Input in R vs Python

April 18, 2012
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Both R and Python have facilities where the coder can write a script which requests a user to input some information. In Python 2.6, the main function for this task is raw_input (in Python 3.0, it’s input()). In R, there are a series of functions that can be used to request an input from the user,

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"Correlation / Covariance" Spectrum (This time with "R")

April 18, 2012
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"Correlation / Covariance"  Spectrum (This time with "R")

I treat this matter with other software´s, and of course you can do the same with "R".Once I have the spectra of my samples with a math treatment, I want to draw a correlation spectrum to see which wavelengths have better correlation with the constitu...

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Efficient Frontier of Funds and Allocation Systems

April 18, 2012
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Efficient Frontier of Funds and Allocation Systems

I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was inter...

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Visualizing iOS Text Editors

April 18, 2012
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Visualizing iOS Text Editors

The other day Brett Terpstra posted a gigantic and quite beautifully-executed feature comparison of all of the text editors available for iOS devices. The table is really terrific and also a bit overwhelming, as there's so much data. On the bus home ye...

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Small Countries Stablize by Exporting High-Tech

April 18, 2012
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Small Countries Stablize by Exporting High-Tech

Smaller countries lead the way. When you think of 'high-tech', which countries come to mind? What is 'High-Tech'? Before continuing, what is meant by the term 'high-tech'? As defined by the World Data Bank, high-technology exports ar...

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knitr Performance Report-Attempt 2

April 18, 2012
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knitr Performance Report-Attempt 2

Over the years I have changed my learning process from reading thoroughly first before proceeding to reading minimally and then applying immediately.  I very quickly see the gaps in my knowledge.  This method is far more painful but seems to ...

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When do you need all the data for Big Analytics?

April 18, 2012
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In the 2012 edition of the SAP Sybase Capital Markets Guide, Revolution Analytics' Senior Advisor for Products and Strategy (and former CEO) Norman Nie writes about the "Five Benefits of Big Analytics". (You can also read his article at Enterprise Innovation.) Norman makes the argument that while sampling and aggregation are often useful ways of handling very large data...

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Simple Moving Average Strategy with a Volatility Filter

April 18, 2012
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Simple Moving Average Strategy with a Volatility Filter

I would describe my trading approach as systematic long term trend following. A trend following strategy can be difficult mentally to trade after experiencing multiple consecutive losses when a trade reverses due to a volatility spike or the trend reverses. Volatility tends to increase when prices fall. This is not good for a long only … Continue reading...

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