Interview: Patrick Burns Quantitative Finance in R

Interview: Patrick Burns Quantitative Finance in R

Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written m...

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The shadows and light of models

March 5, 2012
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The shadows and light of models

How wide is the darkness? Uses of models The main way models are used is to: shine light on the “truth” We create and use a model to learn how some part of the world works. But there is a another use of models that is unfortunately rare — a use that should be common … Continue reading...

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Plot maps like a boss

March 5, 2012
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Plot maps like a boss

A new package OpenStreetMap has been released to CRAN this week which is designed to allow you to easily add satellite imagery, or open street maps to your plots. Raster maps are a great way to add context to your spatial data with a minimum outlay of effort. The syntax in OpenStreetMap is fairly simple, just give

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BerkeleyEarth Version 1.6

March 5, 2012
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BerkeleyEarth Version 1.6

Version 1.6 has just been submitted to CRAN and I will post the source here in the dropbox. Version 1.6 will probably be stable for a long time unless I find a bug. The main additions I made were adding a few functions to make some things easier, and I converted two files–flags and sources–

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ThinkStats … in R (including Example 1.2)

March 4, 2012
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ThinkStats (by Allen B. Downey) is a good book to get you familiar with statistics (and even Python, if you’ve done some scripting in other languages). I thought it would be interesting to present some of the examples & exercises in the book in R. Why? Well, once you’ve gone through the material in a

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DEoptim in Parallel

March 4, 2012
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Running DEoptim in parallel has been on the development team's wishlist for awhile.  It had not been a priority though, because none of us have personally needed it.  An opportunity arose when Kris Boudt approached me about collaborating to a...

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di Roma

March 4, 2012
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di Roma

It has been a wonderful week in Roma, a mix of pleasant work and enjoyable free-time! I gave the ABC advanced course for the second time in a month so it did not require much in terms of preparation and there was a good sized audience with attentive (if too silent!) students and friends as

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Data visualization

March 4, 2012
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For those who have not read the seminal works of Tufte and Cleveland, please hang your heads in shame. To salvage some sense of self-worth, you can then head over to Solomon Messing’s blog where he is starting a series on data visualization based on ...

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Boxplots and Day of Week Effects

March 4, 2012
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Boxplots and Day of Week Effects

THIS BLOG DOES NOT CONSTITUTE INVESTMENT ADVICE. ACTING ON IT WILL MOST LIKELY BE DETRIMENTAL TO YOUR FINANCIAL HEALTH.After following some R-related quant finance blogs like Timely Portfolio, Systematic Investor or Quantitative tho...

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googleVis 0.2.15 is released: Improved geo and bubble charts

March 4, 2012
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googleVis 0.2.15 is released: Improved geo and bubble charts

The guys behind the Google Visualisation API don't seem to rest. On 22 February 2012 they released an update of their API. Google added options for a gradient colour axis to bubble chart and a magnifying glass to geo chart, which opens when the user ho...

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ggplot2 0.9.0 released

March 4, 2012
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This announcement was made by Hadley Wickham in the mailing list. ———————- # ggplot2 ggplot2 is a plotting system for R, based on the grammar of graphics, which tries to take the good parts of base and lattice graphics and avoid bad parts. It takes care of many of the fiddly details that make plotting a hassle (like drawing legends)...

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Interpretation of R-index

March 4, 2012
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Interpretation of R-index

Having introduced the R-index, it is time to look how it works. For this a simple example is sufficient. What happens if a product is different from another product. To make this at least slightly realistic, three products are needed. Two products will...

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Visualization series: Insight from Cleveland and Tufte on plotting numeric data by groups

March 4, 2012
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Visualization series: Insight from Cleveland and Tufte on plotting numeric data by groups

After my post on making dotplots with concise code using plyr and ggplot, I got an email from my dad who practices immigration law and runs a website with a variety of immigration resources and tools.  He pointed out that the … Continue reading →

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Spurious Regression illustrated

March 4, 2012
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Spurious Regression illustrated

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading →

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Setting the Default RNG Seed in R

March 4, 2012
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How to set the default seed for the RNG behind the runif(), sample() and other command? Well, there are several ways doing that (like setting .Random.seed directly), but as the documentation states, set.seed() is the recommended way to specify seeds.> ?set.seed> set.seed(0)> runif(1,0,1) 0.8966972> set.seed(0)> runif(1,0,1) 0.8966972> set.seed(0)> sample(1:10, 10) 9 3 10 5 ...

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My Pocket Change

March 4, 2012
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My Pocket Change

I'm playing around with some personal data collection, and using some cloud computing to visualize it. Following the directions in this blog post, I've written an R function which visualizes data it draws from a Google Docs spreadsheet, and uploaded it...

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Capturing Tick Data via C#, Interactive Brokers, and MySQL

March 3, 2012
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Capturing Tick Data via C#, Interactive Brokers, and MySQL

Interactive Brokers is a discount brokerage that provides a good API for programatically accessing their platform.  The purpose of this post is to create an application that will capture tick level data and save that data into a database for futur...

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Gastwirth’s location estimator

Gastwirth’s location estimator

The problem of outliers – data points that are substantially inconsistent with the majority of the other points in a dataset – arises frequently in the analysis of numerical data.  The practical importance of outliers lies in the fact that even a few of these points can badly distort the results of an otherwise reasonable data analysis.  This outlier-sensitivity...

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R versus Stata Redux

March 3, 2012
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I've used both R and Stata for a long time, but these days I use Stata much more frequently than R. While R is useful for some kinds of graphics (especially three-dimensional graphics) and some statistical procedures (for example, finite mixture models...

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NIT: Fatty acids study in R – Part 002

March 2, 2012
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NIT: Fatty acids study in R – Part 002

> library(chemometrics)> fatmsc_nipals<-nipals(fat_msc,a=10,it=160)> CPs<-seq(1,10,by=1)> matplot(CPs,t(fatmsc_nipals$T),lty=1,pch=21,  + xlab="PC_number",ylab="Explained_Var")In the 2D plot, we can see that with 3 or 4 principal...

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The German DIN33430 – Analysis of acceptance with R

March 2, 2012
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The German DIN33430 – Analysis of acceptance with R

The german DIN33430 defines quality standards that must be met in “job-related proficiency assessments”, the qualifications of the responsible parties involved, as well as the creation, execution and evaluation of such assessments. Licensed persons are published on a website (german). … Weiterlesen →

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New data visualization features in ggplot2 update

March 2, 2012
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New data visualization features in ggplot2 update

Hadley Wickham has just released an update to the ggplot2 graphics package for R. Version 0.9.0 significantly speeds up the process of rendering graphics, and the documentation is much improved (including the addition of many new examples). This update also adds a bunch of new features, which are documented in this 40-page "changes and additions" guide. Here's a sampling...

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What is R-index

March 2, 2012
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What is R-index

R index is developed in interpreting signal detection data for human perception. In sensory research it is used to interpret ranking data. The value one gets out of an R-index calculation is interpreted as a confusion between samples tested. It has bee...

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How to square numbers in your head

March 2, 2012
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How to square numbers in your head

MENTALLY MULTIPLY NUMBERS BY THEMSELVES Assume you know your multiplication tables up to 10x10. Here's how to compute the squares of numbers from 11 to 100.

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When Venn diagrams are not enough – Visualizing overlapping data with Social Network Analysis in R

March 2, 2012
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When Venn diagrams are not enough – Visualizing overlapping data with Social Network Analysis in R

I recently thought about ways to visualize medications and their co-occurences in a group of children. As long as you want to visualize up to  4 different medications you can simply use Venn diagrams. There is a very nice R-package to generate these kind of graphics for you (for a  description see: Chen and Boutros, 2011). But

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A terrible 2000 words

March 2, 2012
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A terrible 2000 words

I've only just started looking at the homicide data made available by the Philadelphia Inquirer in my free time (which is hard to come by lately). I've been thinking about what sorts of statistics I could do, or what kinds of additional data sets I cou...

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ABC in Roma [R lab #2]

March 2, 2012
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ABC in Roma [R lab #2]

Here are the R codes of the second R lab organised by Serena Arima in supplement of my lectures (now completed!). This morning I covered ABC model choice and the following example is the benchmark used in the course (and in the paper) about the impact of summary statistics. (Warning! It takes a while to

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Modeling Trick: the Signed Pseudo Logarithm

March 1, 2012
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Modeling Trick: the Signed Pseudo Logarithm

Much of the data that the analyst uses exhibits extraordinary range. For example: incomes, company sizes, popularity of books and any “winner takes all process”; (see: Living in A Lognormal World). Tukey recommended the logarithm as an important “stabilizing transform” (a transform that brings data into a more usable form prior to generating exploratory statistics, Related posts:

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Download and Parse NAREIT Data

March 1, 2012
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Download and Parse NAREIT Data

This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as

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