Analysis of Cable Morning Trade Strategy

May 29, 2013
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Analysis of Cable Morning Trade Strategy

A couple of years ago I implemented an automated trading algorithm for a strategy called the “Cable Morning Trade”. The basis of the strategy is the range of GBPUSD during the interval 05:00 to 09:00 London time. Two buy stop orders are placed 5 points above the highest high for this period; two sell stop

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Stepping up to Big Data with R and Python: A Mind Map of All the Packages You Will Ever Need

May 29, 2013
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Stepping up to Big Data with R and Python: A Mind Map of All the Packages You Will Ever Need

On May 8, we kicked off the transformation of R Users DC to Statistical Programming DC   (SPDC) with a meetup at iStrategyLabs in Dupont Circle. The meetup, titled “Stepping up to big data with R and Python,” was an … Continue reading →The post Stepping up to Big Data with R and Python: A Mind Map...

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Stepping up to Big Data with R and Python: A Mind Map of All the Packages You Will Ever Need

May 29, 2013
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Stepping up to Big Data with R and Python: A Mind Map of All the Packages You Will Ever Need

On May 8, we kicked off the transformation of R Users DC to Statistical Programming DC   (SPDC) with a meetup at iStrategyLabs in Dupont Circle. The meetup, titled "Stepping up to big data with R and Python," was an experiment in collective learning as Marck and I guided a lively discussion...

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Item Analysis App – Shiny Code

May 28, 2013
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Item Analysis App – Shiny Code

Here is the code for my first Shiny App! It is the one that I posted previously with a few slight revisions. You can see it at:A Shiny R AppIn order to make any sense of this I suggest you working through the tutorial (http://www.rstudio.com/shiny/) it...

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Will Mu Go Out With Median

May 28, 2013
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Will Mu Go Out With Median

True story (no really, this did actually happen).  While in grad school one of the other teaching assistants was approached by one of the students and was asked “will mu go out with median?”  The teaching assistant thought the play on words was pretty funny, laughed, and then cluelessly walked away.  All of us other grad students

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Parallel Processing: When does it worth?

May 28, 2013
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Parallel Processing: When does it worth?

Parallel computing is incredibly useful, but not every thing worths distribute across as many cores as possible. Most computers nowadays have few cores that incredibly help us with our daily computing duties. However, when statistical softwares do use parallelization for analyzing data faster? R, my preferred analytical package, does not take too much advantage of multicore processing...

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Parallel Processing: When does it worth?

May 28, 2013
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Parallel Processing: When does it worth?

Most computers nowadays have few cores that incredibly help us with our daily computing duties. However, when statistical softwares do use parallelization for analyzing data faster? R, my preferred analytical package, does not take too much advantage of multicore processing by default. In fact, R has been inherently a “single-processor” package until nowadays. Stata, another decent...

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Companies using Open Source R in 2013

May 28, 2013
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A recent quora post asked an interesting question: What interesting companies, open source projects are using R in 2013? Since we've been tracking applications of R here on the blog for a while now, I listed just some of the most recent examples: The New York Times routinely uses R for interactive and print data visualization. Google has more...

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Why doesn’t R have a MaxDiff package?

May 28, 2013
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Almost once every year someone asks if R has a package for running the MaxDiff procedure sold by Sawtooth.  One such inquiry recently received a reply with a link showing in some detail the R code needed to generate a balanced incomplete...

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Intended or Unintended Consequences

May 28, 2013
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Intended or Unintended Consequences

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) A quick glimpse at the US 10y Treasury Bond rate since 2000 seems benign with low volatility and a general downward trend. require(latticeExtra)require(quantmod)US10y <- getSymbols("^TNX", from = "2000-01-01", auto.assign = FALSE)asTheEconomist(xyplot(US10y, scales = list(y = list(rot = 1)), main = "US 10y Yield Since 2000"))...

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Using R to communicate via a socket connection

May 28, 2013
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Occasionally, the need arises to communicate with R via another process. There are packages available to facilitate this communication, but for simple problems, a socket connection may be the answer. Nearly all software languages have a socket communic...

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Converting Existing R Scripts to ORE – Getting Started

May 28, 2013
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Converting Existing R Scripts to ORE – Getting Started

Normal 0 false false false EN-US X-NONE X-NONE ...

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R/Finance 2013 Review

May 28, 2013
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It's been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.The comments below are based on my personal experience.  If I don't comment on a seminar or presentation, it doesn't mean I...

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Value at Risk with exponential smoothing

May 28, 2013
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Value at Risk with exponential smoothing

More accurate than historical, simpler than garch. Previously We’ve discussed exponential smoothing in “Exponential decay models”. The same portfolios were submitted to the same sort of analysis in “A look at historical Value at Risk”. Issue Markets experience volatility clustering.  As the previous post makes clear, historical VaR suffers dramatically from this.  An alternative is … Continue reading...

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Interactive presentation with slidify and googleVis

May 28, 2013
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Interactive presentation with slidify and googleVis

Last week I was invited to give an introduction to googleVis at Lancaster University. This time I decided to use the R package slidify for my talk. Slidify, like knitr, is built on Markdown and makes it very easy to create beautiful HTML5 presentations...

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The heat is on…. or is it? Trend Analysis of Toronto Climate Data

May 27, 2013
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The heat is on…. or is it? Trend Analysis of Toronto Climate Data

The following is a guest post from Joel Harrrison, PhD, consulting Aquatic Scientist.For a luddite like me, this is a big step – posting something on the inter-web.  I’m not on Facebook.  I don’t know what Twitter is.  Hell, I don’t even own a smartphone.  But, I’ve been a devoted follower of Myles’ blog for some time,...

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Updates to the Social Science Starter Kit

May 27, 2013
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The Emacs Social Science Starter Kit is a drop-in collection of packages and settings for Emacs 24 aimed at people like me: that is, people doing social science data analysis and writing, using some combination of tools like R, git, LaTeX, Pandoc, perh...

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Updates to the Social Science Starter Kit

May 27, 2013
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The Emacs Social Science Starter Kit is a drop-in collection of packages and settings for Emacs 24 aimed at people like me: that is, people doing social science data analysis and writing, using some combination of tools like R, git, LaTeX, Pandoc, perh...

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Updates to the Social Science Starter Kit

May 27, 2013
By

The Emacs Social Science Starter Kit is a drop-in collection of packages and settings for Emacs 24 aimed at people like me: that is, people doing social science data analysis and writing, using some combination of tools like R, git, LaTeX, Pandoc, perh...

Read more »

Writing a Minimal Working Example (MWE) in R

May 27, 2013
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Writing a Minimal Working Example (MWE) in R

How to Ask for Help using R How to Ask for Help using R The key to getting good help with an R problem is to provide a minimally working reproducible example (MWRE). Making an MWRE is really easy with R, and it will help ensure that...

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Bayesian model II regression

May 27, 2013
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Bayesian model II regression

Regression is a mainstay of ecological and evolutionary data analysis. For example, a disease ecologist may use body size (e.g. a weight from a scale with measurement error) to predict infection. Classical linear regression assumes no error in covariates; they are known exactly. This is rarely the case in ecology, and ignoring error in covariates can bias regression coefficient...

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(Another) introduction to R

May 27, 2013
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(Another) introduction to R

It’s Memorial Day and my dissertation defense is tomorrow. This week I’m phoning in my blog. I had the opportunity to teach a short course last week that was part of a larger workshop focused on ecosystem restoration. A fellow grad student and I taught a session on Excel and R for basic data analysis.

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useR! 2013 conference update

May 27, 2013
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Been trying to reach the website for the useR! 2013, the R user conference that will be held July 10-12 2013 at University of Castilla-La Mancha in Spain? There have been some server problems recently, but you can now get access at the official URL, www.r-project.org/useR-2013/. If you're going, be sure to check out the newly-announced Data Analysis Contest,...

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Log Transformations for Skewed and Wide Distributions

May 27, 2013
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Log Transformations for Skewed and Wide Distributions

This is a guest article by Nina Zumel and John Mount, authors of the new book Practical Data Science with R. For readers of this blog, there is a 50% discount off the “Practical Data Science with R” book, simply by using the code pdswrblo when reaching checkout (until …Read more »

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Combinatorial optimization with gaoptim package

May 27, 2013
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My recent update of gaoptim package brings up a new function, GAPerm, which can be used to perform combinatorial optimization using the Genetic Algorithm approach. The example below solves a TSP instance with 10 points around a circumference, the...

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R / Finance 2013 Recap — and Presentation Slides

The fifth internation R/Finance conference was held last weekend. As one of the founding co-organizers, I may well be accussed of a little bias, but we think we once again pulled off a very nice and successful weekend-long event. Participants had ki...

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Creating a presence-absence raster from point data

May 27, 2013
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Creating a presence-absence raster from point data

I’m working on generating species distribution models at the moment for a few hundred species. Which means that I’m trying to automate as many steps as possible in R to avoid having to click buttons hundreds of times in ArcView. … Continue reading →

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BISON USGS species occurrence data

May 27, 2013
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BISON USGS species occurrence data

The USGS recently released a way to search for and get species occurrence records for the USA. The service is called BISON (Biodiversity Information Serving Our Nation). The service has a web interface for human interaction in a browser, and two APIs (application programming interface) to allow machines to interact with their database. One of the...

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BISON USGS species occurrence data

May 27, 2013
By
BISON USGS species occurrence data

The USGS recently released a way to search for and get species occurrence records for the USA. The service is called BISON (Biodiversity Information Serving Our Nation). The service has a web interface for human interaction in a browser, and two APIs (application programming interface) to allow machines to interact with their database. One of the...

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