## Propagation of error

November 11, 2011
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At the onset, this was strictly an excercise of my own curiosity and I didn't imagine writing this down in any form at all. As someone who has done some modelling work in the past, I'm embarrassed to say that I had never fully grasped how one can gauge the error of a...

## Pre-computing a trading plan in parallel

November 11, 2011
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R version 2.14 introduced a new package, called parallel. This new package combines the functionality from two previous packages: snow and multicore. Since I was using multicore to parallelise my computations, I had to migrate to the new package and decided to publish some code. Often trading strategies are tested using the daily closing price

## A chart for marathoners

November 11, 2011
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Here's a cool application of calendar heat maps: runner Andy used R to catalogue his daily running mileage over the last 2+ years: There are lots of ways to chart data like this (a simple time-series chart, for example), but sometimes looking at data in new ways offers fresh perspectives. For example, Andy notes: "Apparently I missed running on...

## The Marriage of Hadoop and R: Revolution Analytics at Hadoop World

November 11, 2011
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Revolution Analytics CTO David Champagne visited Hadoop World 2011 this week, and delivered a presentation on "The Powerful Marriage of R and Hadoop" to a standing-room-only crowd of R and Hadoop enthusiasts. I've included David's slides below: The talk also generated praise on Twitter, for example: David was also interviewed by The Cube during the conference. In the video...

## Train neural network in R, predict in SAS

November 11, 2011
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This R code fits an artificial neural network in R and generates Base SAS code, so new records can be scored entirely in Base SAS. This is intended to be a simple, elegant, fast solution. You don’t need SAS Enterprise … Continue reading →

## RStudio: a cross-platform IDE for R

November 11, 2011
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Which text editor do you use? Once in a while this question pops up on the R-help mailing list. Up until recently I used the KDE text editor Kate under Linux. Recently, I came across a new text editor for… See more ›

## Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios

November 11, 2011
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Small changes in the input assumptions often lead to very different efficient portfolios constructed with mean-variance optimization. I will discuss Resampling and Covariance Shrinkage Estimator – two common techniques to make portfolios in the mean-variance efficient frontier more diversified and immune to small changes in the input assumptions. Resampling was introduced by Michaud in Efficient

## What you wish you knew before you started a PhD

November 11, 2011
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I asked my research group recently what they wished they had learned before they started work on a PhD. Here are some of the responses. More mathematics. Particular topics they named included real analysis, functional analysis, measure theory, algebra, linear algebra. That would have been my response also. I still wish I knew more mathematics than

## Another look at autocorrelation in the S&P 500

November 11, 2011
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Casting doubt on the possibility of mean reversion in the S&P 500 lately. Previously A look at volatility estimates in “The mystery of volatility estimates from daily versus monthly returns” led to considering the possibility of autocorrelation in the returns.  I estimated an AR(1) model through time and added a naive confidence interval to the … Continue reading...

## Surviving a binomial mixed model

November 11, 2011
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A few years ago we had this really cool idea: we had to establish a trial to understand wood quality in context. Sort of following the saying “we don’t know who discovered water, but we are sure that it wasn’t … Continue reading →

## Visualizing Likert Items

November 11, 2011
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I have become quite a big fan of graphics that combine the features of traditional figures (e.g. bar charts, histograms, etc.) with tables. That is, the combination of numerical results with a visual representation has been quite useful for exploring...

## Visualizing Likert Items

November 11, 2011
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I have become quite a big fan of graphics that combine the features of traditional figures (e.g. bar charts, histograms, etc.) with tables. That is, the combination of numerical results with a visual representation has been quite useful for exploring...

## Plotting implicit functions in R

November 11, 2011
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So in prepping for my latest manuscript on population dynamics I have been creating all the necessary figures.  One of them I considered was a 2-d surface plot of a modified Ricker equation showing the transitions from extinction stability, and stability to limit cycles.  Inconveniently though the only way to do this is with an implicit function.  Since becoming...

## What 5,728.986 miles look like…

November 10, 2011
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## Facebook Graph API Explorer with R

November 10, 2011
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I wanted to play around with the Facebook Graph API  using the Graph API Explorer page as a coding exercise. This facility allows one to use the API with a temporary authorisation token. Now, I don’t know how to make an R package for the proper API where you have to register for an API key and

## Bridge and Torch problem in R

November 10, 2011
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A couple months ago I came across the bridge and torch problem at a careers fair in Oxford. A young tech company called QuBit used it as a brain teaser challenge for would be software engineers to solve before submitting … Continue reading →

## Diagram for a Bernoulli process (using R)

November 10, 2011
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A Bernoulli process is a sequence of Bernoulli trials (the realization of n binary random variables), taking two values (0/1, Heads/Tails, Boy/Girl, etc…). It is often used in teaching introductory probability/statistics classes about the binomial distribution. When visualizing a Bernoulli process, it is common to use a binary tree diagram in order to show the Read more...

## Managing a Local R Repository

November 10, 2011
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I will be teaching a workshop on R and LaTeX at NEAIR in just under a month. One of the issues I will encounter is a lack of Internet access. I also work with restricted data from NCES which requires the computer to be secured including no network a...