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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Animation Newby Excercise with R-Package {animation}

December 12, 2011
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Animation Newby Excercise with R-Package {animation}

Try this very simple & illustrative example for creating an animation with the animation package:myfun <- function ( ) { n = ani.options("nmax") x = sample(1:n) ...

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R, academia and the democratization of statistics

December 12, 2011
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R, academia and the democratization of statistics

I am not a statistician but I use statistics, teach some statistics and write about applications of statistics in biological problems. Last week I was in this biostatistics conference, talking with a Ph.D. student who was surprised about this situation … Continue reading →

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How to Become an Efficient and Collaborative R Programmer

December 12, 2011
By

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 ...

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Regression Analysis

December 11, 2011
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Regression Analysis

Regression Analysis ~about Long term data of earthquakes~ 1 Introduction I have attempted gaining a deeper und

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UseR! 2011 slides and videos – on one page

December 11, 2011
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Links to slides and talks from useR 2011 - all organized in one page.Read more »

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Visualizing Gestures as Paths

December 11, 2011
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Visualizing Gestures as Paths

Kaggle is hosting an exciting new competition in which the object is to learn to identify sequences of gestures from just one example of each gesture. I would bet this competition has a lot of potential to attract academics interested in machine learni...

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Rescuing Twapperkeeper Archives Before They Vanish, Redux

December 11, 2011
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Rescuing Twapperkeeper Archives Before They Vanish, Redux

In Rescuing Twapperkeeper Archives Before They Vanish, I described a routine for grabbing Twapperkeeper archives, parsing them, and saving them to a local desktop file using the R programming language (downloading RStudio is the easiest way I know of getting R…). Following a post fron @briankelly (Responding to the Forthcoming Demise of TwapperKeeper), where Brian

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A view on R Capabilities

December 11, 2011
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A view on R Capabilities

Dear R Programmers,I have tried to capture R capabilites in a single slide. I welcome your comments/suggestions on the same.

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LondonR meetings presentations

December 11, 2011
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Three presentations uploaded on LondonR meetings website.  I especially enjoyed the JD Long presentation on the seque package for simulations using Amazon's EC2.

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LondonR meetings presentations

December 11, 2011
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LondonR meetings presentations

Three presentations uploaded on LondonR meetings website.  I especially enjoyed the JD Long presentation on the seque package for simulations using Amazon's EC2.

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LondonR meetings presentations

December 11, 2011
By
LondonR meetings presentations

Three presentations uploaded on LondonR meetings website.  I especially enjoyed the JD Long presentation on the seque package for simulations using Amazon's EC2.

Read more »

Hello Mr. Bernake…

December 10, 2011
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I was playing around tonight and came across something that looked odd.  Using the importSeries() created before, I grabbed dividend adjusted returns for SHY, IEF, and TLT (iShares Short, Medium, and Long Maturity Treasury ETFs respectively). &nbs...

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Stat-ET

December 10, 2011
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Stat-ET

Working on a new post and I'm starting to enjoy Stat-ET.  Here's a screen shot (click to view full size)Notice the object browser.  Want to know what functions a package has?  Check there.  Want to see what is in that data frame, se...

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Rescuing Twapperkeeper Archives Before They Vanish

December 10, 2011
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Rescuing Twapperkeeper Archives Before They Vanish

A couple of years or so ago, various JISC folk picked up on the idea that there might be value in them thar tweets and started encouraging the use of Twapperkeeper for archiving hashtagged tweets around events, supporting the development of that service in exchange for an open source version of the code. Since then,

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"With the the increasing availability of complicated alternative investment strategies to both retail…"

December 10, 2011
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“With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as import...

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"With the the increasing availability of complicated alternative investment strategies to both retail…"

December 10, 2011
By

“With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as import...

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LondonR recap

December 10, 2011
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LondonR recap

The biggest and perhaps best meeting yet. The talks James Long: “Easy Parallel Stochastic Simulations using Amazon’s EC2 & Segue”.  This was a lively talk about James’ package to use Amazon’s cloud to speed up a (huge) call to lapply.  The good part is that if you want to use Amazon as your cloud provider, … Continue reading...

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Global Volcanic Eruptions

December 10, 2011
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Global Volcanic Eruptions

What volcanoes are currently erupting across the globe, you ask?  Building on an earlier post of global earthquakes, we can scrape some weekly data from the Smithsonian/USGS Global Volcanism Program to plot the locations of actively erupting ...

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LondonR, 6 December 2011

December 10, 2011
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LondonR, 6 December 2011

The London R user group met again last Wednesday at the Shooting Star pub. And it was busy. More than 80 people had turned up. Was it the free beer and food, sponsored by Mango which attracted the folks or the speakers? Or the venue? James Long, who or...

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