ARMA Models for Trading

August 21, 2012
By
ARMA Models for Trading

In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models, however, I strongly recommend Introductory Time Series with R, which I find is a perfect combination between light theoretical background and practical implementations in

Read more »

Creating beautiful reports from R with knitr

August 21, 2012
By
Creating beautiful reports from R with knitr

People use the R language every day to create the elements of reports: tables, charts, analyses, and forecasts. But assembling all of that information into a print-ready document laid out with text can a hassle. You can cut-and-paste all of the elements into Word, but then what do you do when the data file gets updated at the last...

Read more »

Can Anyone Become a Data Scientist? Oxdata Believes So

August 21, 2012
By
Can Anyone Become a Data Scientist? Oxdata Believes So

Data science is a sophisticated and complex discipline, but since it's still an emerging field, its practitioners come from a wide variety of backgrounds. Typically, though, a background in working with large data sets in a research setting is advantageous. This is why you may be mingling with a former physicist or immunologist at the next data hackathon...

Read more »

London 2012 Olympics — Medals per event

August 21, 2012
By
London 2012 Olympics — Medals per event

It’s almost midnight. Before I go sleeping, I’d like to post the chart about ”medals per event” on 2012 Olympics. As some visitors suggested, I searched for the competition information for each athlete. Finally, thankful to the mighty Guardian datablog, I find the … Continue reading →

Read more »

My #ACSPhilly #skolnik2012 slides for “Semantic pipelines to molecular properties”

August 21, 2012
By

(This article was first published on chem-bla-ics, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: chem-bla-ics. 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 Scraping) statistics...

Read more »

Sigma motion visual illusion in R

August 21, 2012
By
Sigma motion visual illusion in R

Michael Bach, who is a professor and vision scientist at the University of Freiburg, maintains a fascinating site about visual illusions. One visual illusion really surprised me: the sigma motion. The sigma motion displays a flickering figure of bla...

Read more »

Adaptive Asset Allocation – Sensitivity Analysis

August 20, 2012
By
Adaptive Asset Allocation – Sensitivity Analysis

Today I want to continue with Adaptive Asset Allocation theme and examine how the strategy results are sensitive to look-back parameters used for momentum and volatility computations. I will follow the sample steps that were outlined by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm post. Please see my prior

Read more »

Getting Started with R and Hadoop

August 20, 2012
By
Getting Started with R and Hadoop

Last week's meeting of the Chicago area Hadoop User Group (a joint meeting the Chicago R User Group, and sponsored by Revolution Analytics) focused on crunching Big Data with R and Hadoop. Jeffrey Breen, president of Atmosphere Research Group, frequently deals with large data sets in his airline consulting work, and R is his "go-to tool for anything data-related"....

Read more »

plot.xts with Moving Average Panel

August 20, 2012
By
plot.xts with Moving Average Panel

(for all plot.xts posts, see http://timelyportfolio.blogspot.com/search/label/plot.xts) As another example of all that we can do with the new plot.xts, let’s try to do a price plot with a moving average overlays.  We will use the ETFs shown by M...

Read more »

Welcome Hadley, Winston, and Garrett!

August 20, 2012
By
Welcome Hadley, Winston, and Garrett!

RStudio’s mission from the beginning has been to create powerful tools that support the practices and techniques required for creating trustworthy, high quality analysis. For many years Hadley Wickham has been teaching and working on his own set of tools for R with many of the same core goals. We’ve been collaborating quite a bit

Read more »

Halo Effects and Multicollinearity: Separating the General from the Specific

August 20, 2012
By
Halo Effects and Multicollinearity: Separating the General from the Specific

In the last post, The Relative Importance of Predictors, I showed how difficult it can be to assess the independent contribution that each predictor makes to the overall R-squared when the predictors are highly correlated.  We spent some time looking at one example where the predictors were ratings from an airline satisfaction study.  As is common in such studies,...

Read more »

Mid-August flotsam

August 20, 2012
By
Mid-August flotsam

Reached mid-semester point, with quite a few new lectures to prepare. Nothing extremely complicated but, as always, the tricky part is finding a way to make it meaningful and memorable. Sometimes, and this is one of those times, I sound … Continue reading →

Read more »

Another comparison of heuristic optimizers

August 20, 2012
By
Another comparison of heuristic optimizers

A herd of heuristic algorithms is compared using a portfolio optimization. Previously “A comparison of some heuristic optimization methods” used two simple and tiny portfolio optimization problems to compare a number of optimization functions in the R language. This post expands upon that by using a portfolio optimization problem that is of a realistic size … Continue reading...

Read more »

Heatmap tables with ggplot2

August 20, 2012
By
Heatmap tables with ggplot2

I wrote before about heatmap tables as a better way of producing frequency or other tables, with a solution which works nicely in latex. It is possible to do them much more easily in ggplot2, like this library(Hmisc) library(ggplot2) library(reshape) data(HairEyeColor) P=t(HairEyeColor) Pm=melt(P) ggfluctuation(Pm,type="heatmap")+geom_text(aes(label=Pm$value),colour="white")+ opts(axis.text.x=theme_text(size = 15),axis.text.y=theme_text(size = 15)) Note that ggfluctuation will also take … Continue reading...

Read more »

R for Dummies

August 20, 2012
By

The book R for Dummies was released recently, and was just reviewed by Dirk Eddelbuettel in the Journal of Statistical Software. Dirk is an R luminary, creating such fantastic works as Rcpp. R for Dummies seems to have beaten Dirk's natural disinclination to like anything with "for Dummies" appended to it, receiving a pretty positive review. Here is the last bit: "R

Read more »

Flat forecasts

August 19, 2012
By

About once a week someone will tell me there is a bug in my forecast package for R because it gives forecasts that are the same for all future horizons. To save answering the same question repeatedly, here is my response. A point forecast is (usually) the mean of the distribution of a future observation in the time series,...

Read more »

Using paste( ) to read and write multiple files in R

August 19, 2012
By

This post is a quick tip on how to use the paste( ) function to read and write multiple files. First, let’s create some data. The next step is not necessary, but makes the subsequent code more readable. The following example is silly because you would rarely want to split your data as

Read more »

Horizon plots with ggplot2, sort-of

August 19, 2012
By
Horizon plots with ggplot2, sort-of

The Timely Portfolio blog via R-bloggers has recently published some interesting entries about the value of horizon plots for visual comparison of a number of time series. Very nice it looks too. You can read more about them here. The trick to understanding them is to imagine that each row was orginally a line chart … Continue reading...

Read more »

R for Ecologists: Putting Together a Piecewise Regression

August 19, 2012
By
R for Ecologists: Putting Together a Piecewise Regression

Piecewise regression comes about when you have ‘breakpoints’, where there are clearly two different linear relationships in the data with a sudden, sharp change in directionality. This crops up occasionally in ecology when dealing with, for example, species richness of understory plants … Continue reading →

Read more »

London 2012 Olympics — Medals per hundred players

August 19, 2012
By
London 2012 Olympics — Medals per hundred players

It’s the weekend. I just woke up from a nap. Got my mind freshed. I’d like to continue with my digging into the Olympics medal results. Today, I cited the number of participants from each country (see wikipedia). I want to see how … Continue reading →

Read more »

Linear regression in OpenBUGS

August 18, 2012
By

I always wondered why is it so difficult to find an OpenBUGS example of simple linear regression on the Web. Curiously, such example is even missing in the OpenBUGS help. The only nice example so far is in the book … Continue reading →

Read more »

Parallelization: Speed up Functions in a Package

August 18, 2012
By
Parallelization: Speed up Functions in a Package

Well I bought a new computer a month back (i7 8GB memory). Finally more than one core and a chance to try parallelization. I saw this blog post a while back and was intrigued and was further intriqued when I … Continue reading →

Read more »

Querying a database from within R

August 18, 2012
By
Querying a database from within R

For a while now I have been contemplating pulling data from our postgreSQL db directly from R, but just never actually pulled the trigger until today.  What I found was that it was a lot easier than I ever could have imagined.  My laptop was already on the VPN, so I decided to try it

Read more »

read raster data in parallel

August 18, 2012
By
read raster data in parallel

Use library(parallel) to read raster data in parallel fashion Use library(parallel) to read raster data in parallel fashion Recently, I have been doing some analysis for a project I am involved in. In particular, I was...

Read more »

An example of OOP in GNU R using S4 Classes

August 18, 2012
By
An example of OOP in GNU R using S4 Classes

Recently I have discussed with my friend from WLOG Solutions an implementation of banking cash management engine in GNU R. The code made a nice use of S4 classes so I thought it would be worth showing as an example.The problemEvery commercial bank need...

Read more »

Experience with Oracle R Enterprise in the Oracle micro-processor tools environment

August 17, 2012
By
Experience with Oracle R Enterprise in the Oracle micro-processor tools environment

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

Read more »

GARCH Panel in plot.xts

August 17, 2012
By
GARCH Panel in plot.xts

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:

Read more »

Ryan Rosario on Parallel programming in R

August 17, 2012
By

Earlier this year data scientist Ryan Rosario gave a talk on parellel computing with R to the Los Angeles R User Group, and he recently made the slides from the talk available online. They're a great resource for anyone looking to make use of multi-processor systems a Hadoop based architechure to speed computations with big data. Ryan's talk was...

Read more »

Using R from Inside Statistica

August 17, 2012
By
Using R from Inside Statistica

I’ve been spending a lot of time in the last month or so doing projects at work not statistics related, hence the lack of posts!  In the interim, I had to do some serious research on handling datasets bigger than … Continue reading →

Read more »