Volatility Regimes: Part 1

Volatility Regimes: Part 1

This is a ‘do over’ of a project I started while at my former employer in the fall of 2012. I presented part 1 of this framework at the FX Invest West Coast conference on September 11, 2012. I have made some changes and expanded the analysis since then. Part 2 is complete and will follow this post in...

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Le Monde puzzle [#818]

April 30, 2013
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Le Monde puzzle [#818]

The current puzzle is as follows: Define the symmetric of an integer as the integer obtained by inverting the order of its digits, eg 4321 is the symmetric of 1234. What are the numbers for which the square is equal to the symmetric of the square of the symmetric? I first consulted stackexchange to find

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Missing tikzDevice

April 30, 2013
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I love using tikzDevice. When preparing LaTeX documents I switched to prepare all graphs in GNU R and then port them to TeX using tikzDevice. Recently I have moved to GNU R 3.0.0 and was shocked to find that this package is no longer available on CRAN....

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What the BBC isn’t telling you

April 30, 2013
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What the BBC isn’t telling you

Yesterday Gareth pointed me to this article on the BBC website. The underlying story has to do with Meredith Kercher's murder and the subsequent trial involving mainly her flat-mate Amanda Knox, in Perugia (Italy). As often in these grue...

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Integrating Documentation and Calculation

April 30, 2013
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Integrating Documentation and Calculation Integrating Documentation and Calculation This post is a first in that I've authored it using RStudio. I would guess most people who work in computational finance or quantitative risk are at least familiar with R. Unfortunately R as...

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Has R-help gotten meaner over time? And what does Mancur Olson have to say about it?

April 30, 2013
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Has R-help gotten meaner over time? And what does Mancur Olson have to say about it?

R users know it can be finicky in its requirements and opaque in its error messages. The beginning R user often then happily discovers that a mailing list for dealing with R problems with a large and active user base, R-help, has existed since 1997. Then, the beginning R user wades into the waters, asks… Continue reading →

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Student’s t: location-scale

April 30, 2013
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Student’s t: location-scale

Location-scale extension for Student's t-distribution in R

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SAS Big Data Analytics Benchmark (Part One)

April 30, 2013
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by Thomas Dinsmore On April 26, SAS published on its website an undated Technical Paper entitled Big Data Analytics: Benchmarking SAS, R and Mahout. In the paper, the authors (Allison J. Ames, Ralph Abbey and Wayne Thompson) describe a recent project to compare model quality, product completeness and ease of use for two SAS products together with open source...

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Kalkalash! Pinpointing the Moments “The Simpsons” became less Cromulent

April 30, 2013
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Kalkalash! Pinpointing the Moments “The Simpsons” became less Cromulent

Whenever somebody mentions “The Simpsons” it always stirs up feelings of nostalgia in me. The characters, uproarious gags, zingy one-liners, and edgy animation all contributed towards making, arguably, the greatest TV ever. However, it’s easy to forget that as a TV show “The Simpsons” is still ongoing—in its twenty-fourth season no less. For me, and

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SeminR – au Museum d’histoire naturelle

April 30, 2013
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JOURNEE R LE 24/05/2013 A PARIS - MUSEUM NATIONAL D'HISTOIRE NATURELLE VENEZ PARTAGER VOTRE (ME)CONNAISSANCE DE R ! Au programme : chimie, rapports automatisés, mélanges gaussiens, analyse spatiale, analyse de réseaux, interface R, atlas botanique, bases de données, analyse textuelle et biologie de l'évolutionInscription :...

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ggplot2 graphics in a loop

April 29, 2013
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A client has a specific audit they perform quarterly across 200 of their manufacturing plants. The audit has 8 distinct sections examining the different areas of the plant (shipping, receiving, storage, packaging,etc.) Instead of having one cumulative final score, the audit displays a final score for each section. I wanted to examine the distribution of

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R 3.0.0 and Raring Ringtail (Ubuntu 13.04)

April 29, 2013
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New .deb packages for R 3.0.0 on Raring Ringtail (13.04) are available on both CRAN and my Launchpad PPA. Some notes for this release. The initial build for Raring Ringtail did not come with Tcl/Tk being supported. This issue has been addressed and...

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…about R, for beginners

April 29, 2013
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…about R, for beginners

These days I was remembering my beginnings as a linux user few years ago, and how I found R (possibly in a very unlikely way: searching for a SPSS alternative in Linux). For two years, R had been almost impossible … Sigue leyendo →

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Feature Selection Strikes Back (Part 1)

April 29, 2013
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Feature Selection Strikes Back (Part 1)

In the feature selection chapter, we describe several search procedures ("wrappers") that can be used to optimize the number of predictors. Some techniques were described in more detail than others. Although we do describe genetic algorithms and how they can be used for reducing the dimensions of the data, this is the first of series of blog posts that...

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A Brief Tour of the Trees and Forests

April 29, 2013
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A Brief Tour of the Trees and Forests

Tree methods such as CART (classification and regression trees) can be used as alternatives to logistic regression. It is a way that can be used to show the probability of being in any hierarchical group. The following is a compilation of many of the key R packages that cover trees and forests.  The goal here

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Poor man’s integration – a simulated visualization approach

April 29, 2013
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Poor man’s integration – a simulated visualization approach

Every once in a while I encounter a problem that requires the use of calculus. This can be quite bothersome since my brain has refused over the years to retain any useful information related to calculus. Most of my formal training in the dark arts was completed in high school and has not been covered

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d3 <- R with rCharts and slidify

April 29, 2013
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I believe that the NY Times interactive feature 512 Paths to the White House is one of the best visualizations of all time.  It is even better when we have details on the process of creating this marvel.   Although the graphic is not suited for other data sources (please tell me if this is not...

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How UpStream uses R for Attribution Analysis

April 29, 2013
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Major retailers like Williams Sonoma use UpStream Software for marketing analytics, including revenue attribution, targeting, and optimization. In the video below Tess Nesbitt (senior statistician at UpStream) describes how she uses Revolution R Enterprise and Hadoop to figure out the impact on various marketing channels (for example direct mail, email offers, and catalogs) on consumer retail sales. (The slides...

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Webinar May 1: What’s new in Revolution R Enterprise 6.2

April 29, 2013
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Revolution R Enterprise 6.2 is now available, and includes many new features that enhance the performance, scalability and enterprise readiness of R. On May 1, product manager Thomas Dinsmore will give an overview of the new features in a 30-minute webinar. You can register for the webinar (and the post-webinar slides and replay) at the link below. Revolution Analytics...

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GSoC Proposal 2013: Biodiversity Visualizations using R

April 29, 2013
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GSoC Proposal 2013: Biodiversity Visualizations using R

I am applying for Google Summer of Code 2013 with this “Biodiversity Visualizations using R” proposal. I am posting this idea to get feedback and suggestions from Biodiversity Informatics community.

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GSoC Proposal 2013: Biodiversity Visualizations using R

April 29, 2013
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GSoC Proposal 2013: Biodiversity Visualizations using R

I am applying for Google Summer of Code 2013 with this “Biodiversity Visualizations using R” proposal. I am posting this idea to get feedback and suggestions from Biodiversity Informatics community.

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Experiments in python and d3 from R: GDELT made easy

April 29, 2013
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(This article was first published on Quantifying Memory, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on their blog: Quantifying Memory. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave,...

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austerity in MCMC land (#2)

April 29, 2013
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austerity in MCMC land (#2)

After reading the arXiv paper by Korattikara, Chen and Welling, I wondered about the expression of the acceptance step of the Metropolis-Hastings algorithm as a mean of log-likelihoods over the sample. More specifically the long sleepless nights at the hospital led me to ponder the rather silly question of the impact of replacing mean by

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Editing/Adding factor levels in R

April 29, 2013
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I was trying to change few levels in my factor variable by simply coercing characters on that factor variable but it dint seem to work. data(iris)iris$Species <- rep("Random", 71) ## Warning: invalid factor level, NAs generated iris$Species ## setosa ...

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Citation Patterns in Ecology

April 29, 2013
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Citation Patterns in Ecology

I’m always curious to see who is citing my one paper. Turns out I actually have two papers, and the most cited paper (with 19 citations, which sounds paltry but for me is quite exciting) is certainly not the one … Continue reading →

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Stats in the Court Room Hands on Tutorial

April 29, 2013
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I got intrigued by the numbers presented in this news article talking about the re-trial in the Amanda Knox case. The defendants, accused and initially convicted of murder, were acquitted in the appeal's instance when the judge ruled that the forensic evidence was insufficiently conclusive. The appeals judge ignored the forensic scientist's advice to retest a DNA sample,...

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Slouching towards simulating investment skill

April 29, 2013
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Slouching towards simulating investment skill

When investment skill is simulated, it is often presented as if it is obvious how to do it.  Maybe I’m wrong, but I don’t think it’s obvious. Previously In “Simple tests of predicted returns” we saw that prediction quality need not look like what you would find in a textbook.  For example, there was a … Continue reading...

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How to change the alpha value of colours in R

April 29, 2013
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How to change the alpha value of colours in R

Often I like to reduce the alpha value (level of transparency) of colours to identify patterns of over-plotting when displaying lots of data points with R. So, here is a tiny function that allows me to add an alpha value to a given vector of colours, e.g. a RColorBrewer palette, using col2rgb and rgb, which has...

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Using the Golden Section Search Method to Minimize the Sum of Absolute Deviations

Using the Golden Section Search Method to Minimize the Sum of Absolute Deviations

Introduction Recently, I introduced the golden search method – a special way to save computation time by modifying the bisection method with the golden ratio, and I illustrated how to minimize a cusped function with this script.  I also wrote an R function to implement this method and an R script on how to apply this

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