More orthodox ARMA/GARCH trading

December 14, 2011
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More orthodox ARMA/GARCH trading

The system described in the earlier series for ARMA trading was in fact an “extreme” version of the more common, orthodox approach prevailing in the literature. Recently I tried using R to reproduce the results of a particular paper, and that lead to a lot of new developments … How is typically ARMA trading simulated?

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CalendaR 2012 with ggplot2

December 14, 2011
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CalendaR 2012 with ggplot2

Season’s Greetings Hi, dear R-bloggers and its readers. Here in Japan it’s very cold now. The end

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CloudStat’s Infographic with…

December 14, 2011
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CloudStat’s Infographic with…

CloudStat’s Infographic with Piktocharthttp://visual.ly/cloudstat-infographic CloudStat is a cloud-based statistical platform that allows users to analyze data in the cloud at anywhere, any time, across multiple platform while connecting with the exp...

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List of public databases from the Washington Post

December 14, 2011
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The Washington Post has put together an excellent list of publicly-accessible databases, ideal for analysis using the R language. You'll find databases from the domains of Census and Demographics (for example, the American Community Survey), Crime and Courts (like this list of federal prosecutions), Transportation and Development (e.g. older driver crash statistics); Health and Safety; Real Estate and Business;...

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Revolution Newsletter: December 2011

December 14, 2011
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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 December edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Applications of R in Business Contest. A judging panel of industry experts and R...

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… And now for solution 17, still using Rcpp

December 14, 2011
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Here comes yet another sequel of the code optimization problem from the R wiki, still using Rcpp, but with a different strategy this time Essentially, my previous version (15) was using stringstream although we don't really need its functionality ...

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R / Finance 2012 Call for Papers

December 13, 2011
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Last night, the text below went out to r-sig-finance along with updates to the R/Finance website and its Call for Papers page; followed by some tweeting and Goggle+'ing (and please do feel free to retweet and share at will...) Call for Papers: ...

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RcppArmadillo 0.2.34

December 13, 2011
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And another quick bugfix release by Conrad Sanderson made it version 2.4.2 bug of Armadillo. And this is in RcppArmadillo release 0.2.34 which got to CRAN this morning The NEWS entry below summarises the changes. 0.2.34 2011-12-12 o Upgr...

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Maximum Covariance Analysis (MCA)

December 13, 2011
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Maximum Covariance Analysis (MCA)

Maximum Covariance Analysis (MCA) (Mode 1; scaled) of Sea Level Pressure (SLP) and Sea Surface Temperature (SST) monthly anomalies for the region between -180 °W to -70 °W and +30 °N to -30 °S.  MCA coefficients (scaled) are below. The mode represents 94% of the squared covariance fraction (SCF).Maximum Correlation Analysis...

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Data is the new gold

December 13, 2011
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Data is the new gold

We need more data journalism. How else will we find the nuggets of data and information worth reading? Life should become easier for data journalists, as the Guardian, one of the data journalism pioneers, points out in this article about the new open ...

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Unshorten (almost) any URL with R

December 13, 2011
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Unshorten (almost) any URL with R

Introduction I was asked by a friend how to find the full final address of an URL which had been shortened via a shortening service (e.g., Twitter’s t.co, Google’s goo.gl, Facebook’s fb.me, dft.ba, bit.ly, TinyURL, tr.im, Ow.ly, etc.). I replied I had no idea and maybe he should have a look over on StackOverflow.com or, possibly,

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Create maps with maptools R package

December 13, 2011
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Create maps with maptools R package

Baptiste Coulmont explains on his blog how to use the R package maptools. It is based on shapefile files, for example the ones offered by the French geography agency IGN (at départements and communes level). Some additional material like roads and railways are provided by the OpenStreetMap project, here. For the above map, you need

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RHadoop update: new tools for Hadoop map-reduce tasks in R

December 13, 2011
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The open-source RHadoop project to integrate R and Hadoop continues apace, with a new version of the rmr package released this week. Changes in this version improve performance when storing and retrieving R objects from Hadoop with a native serialization process, support for equijoins (a MapReduce-style merge) and some new higher-level R functions to make writing map-reduce tasks simpler....

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I Work For The Internet !

December 13, 2011
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I Work For The Internet !

UPDATE: code and figure updated at 647 AM CST on 19 Dec '11.  Also, see Jarrett Byrnes (improved) fork of my gist  here.The site I WORK FOR THE INTERNET is collecting pictures and first names (last name initials only) to show collective suppo...

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I Work For The Internet !

December 13, 2011
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I Work For The Internet !

UPDATE: code and figure updated at 647 AM CST on 19 Dec '11.  Also, see Jarrett Byrnes (improved) fork of my gist  here.The site I WORK FOR THE INTERNET is collecting pictures and first names (last name initials only) to show collective suppo...

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I Work For The Internet !

December 13, 2011
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I Work For The Internet !

UPDATE: code and figure updated at 1150 am CST.The site I WORK FOR THE INTERNET is collecting pictures and first names (last name initials only) to show collective support against SOPA (the Stop Online Piracy Act).  Please stop by their site and a...

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A prize of US$3,000,000 for a data mining competition to improve healthcare

December 13, 2011
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A prize of US$3,000,000 for a data mining competition to improve healthcare

There is a data mining competition with a prize of $3,000,000. The target is to improve healthcare in US by identifying patients who will be admitted to a hospital within the next year, using historical claims data. The algorithm to … Continue reading →

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Some Fun with googleVis – Mapping Blog Visits on Google Map

December 13, 2011
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Some Fun with googleVis – Mapping Blog Visits on Google Map

See stand-alone code to produce this map below.Read more »

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spider: an R package for species identity and evolution

December 12, 2011
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spider: an R package for species identity and evolution

spider: Species identity and evolution is an R package developed by the Lincoln University molecular ecology lab group to do a range of analyses that various lab members wanted to run that were not yet implemented in R. In particular, the package provi...

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Backtesting Minimum Variance portfolios

December 12, 2011
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Backtesting Minimum Variance portfolios

I want to show how to combine various risk measures I discussed while writing the series of posts about Asset Allocation with backtesting library in the Systematic Investor Toolbox. I will use Minimum Variance portfolio as an example for this post. I recommend reading a good discussion about Minimum Variance portfolios at Minimum Variance Sector

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Teaching Assistant with R expertise needed in Toronto

December 12, 2011
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Services of a teaching assistant (TA) are required for a course in Applied Retail Research at Ryerson University in Toronto. The course will run from January to April 2012. Experience with statistical analysis  using R is required. For details on the course, please click HERE. To apply or read more about the position, please

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Pairs for the "P" (loadings) matrix

December 12, 2011
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Pairs for the "P" (loadings) matrix

Ver primero: PCA file calculation with "R"See first:         PCA file calculation with "R"Podemos ver los diferentes planos que forman los PCs entre sí, con la función "Pairs" de "R".We can see all the combinat...

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How to Become an Efficient and Collaborative R Programmer

December 12, 2011
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I may want to add a subtitle “Why R-Forge Must Die” (thinking of Barry Rowlingson’s talk earlier this year). I have been a GitHub user for two years, and I was mainly influenced by Hadley. Now I even feel a little bit addicted to GitHub (its slogan is “social coding”), because it is really convenient

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Default Convenience Functions in R (Rprofile.site)

December 12, 2011
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Default Convenience Functions in R (Rprofile.site)

I keep my blog-reference-functions, snippets, etc., at github and want to source them from there. This can be achieved by utilizing a function (source_https, customized for my purpose HERE). The original function was provided by the R-Blogger Tony Brey...

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Mapping prosperity in France with R

December 12, 2011
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Mapping prosperity in France with R

The choropleth below (created by Baptiste Coulmont) is a sort of prosperity map of France: the blue areas have high levels of personal income (actually, median household income tax paid divided by the number of household members), while the red areas have the lowest: The map was created with the help of GEOFLA "communes" shapefile (my high-school French begins...

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Time series cross-validation 3

December 12, 2011
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Time series cross-validation 3

I've updated my time-series cross validation algorithm to fix some bugs and allow for a possible xreg term.     This allows for cross-validation of multivariate models, so long as they are specified as a function with the following ...

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Exploring Your Voter File with R

December 12, 2011
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Exploring Your Voter File with R

We perform a voter file analysis for Wake County, NC using R.

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Tall big data, wide big data

December 12, 2011
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After attending two one-day workshops last week I spent most days paying attention to (well, at least listening to) presentations in this biostatistics conference. Most presenters were R users—although Genstat, Matlab and SAS fans were also present and not one … Continue reading →

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Function for Adding Transparency to JPEG (Output = PNG)

December 12, 2011
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Function for Adding Transparency to JPEG (Output = PNG)

..see the function-code HERE.

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