Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

May 10, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

In part 2, we saw that adding a volatility filter to a single instrument test did little to improve performance or risk adjusted returns. How will the volatility filter impact a multiple instrument portfolio? In part 3 of the follow up, I will evaluate the impact of the volatility filter on a multiple instrument test. … Continue reading...

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Should I adjust the Bias?

May 10, 2012
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Should I adjust the Bias?

A bias or systematic error is quite common when monitoring predictions vs reference data. Anyway we must have certain control limits to decide if the Bias is significant or not. Procedures (as for example ISO 12099 )give details about how to calculate ...

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Criticism 1 of NHST: Good Tools for Individual Researchers are not Good Tools for Research Communities

May 10, 2012
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Introduction Over my years as a graduate student, I have built up a long list of complaints about the use of Null Hypothesis Significance Testing (NHST) in the empirical sciences. In the next few weeks, I’m planning to publish a series of blog posts, each of which will articulate one specific weakness of NHST. The

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Photos of the first Milano R net meeting

May 10, 2012
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Photos of the first Milano R net meeting

Photos of the first Milano R net meeting Milano; May 8, 2012

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See R integrated with QlikView, Jaspersoft, Excel, and mobile apps

May 9, 2012
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In yesterday's webinar, Revolution Analytics CTO David Champagne demonstrated how to integrate statistical graphics and analytic computations created using R software with a variety of third-party applications. In each case Revolution R Enterprise Server is running as a compute server to the client application, with R scripts launched on each user interaction via the RevoDeployR Web Services API. David...

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Use R! – Part 2

May 9, 2012
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Use R! – Part 2

Here is a follow-up of my first post about using R. For our yearly KU Leuven Geology PhD Seminar (08-09/05/2012), I quickly pasted this script together from several examples I had run into in the past, as well as some things that I have been doing myse...

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The NFL: Pass or Lose

May 9, 2012
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The NFL: Pass or Lose

The rushing game is slowly disappearing. Heave That Sucker When it doubt, chunk the pigskin. Whether you like it or not, NFL (National Football League) teams are relying upon passing more and more. Looking at the above chart, the average p...

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Simple Spatial Correlograms for Cross-Country Analysis in R

May 9, 2012
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Simple Spatial Correlograms for Cross-Country Analysis in R

Accounting for temporal dependence in econometric analysis is important, as the presence of temporal dependence violates the assumption that observations are independent units. Historically, much less attention has been paid to correcting for spatial dependence, which, if present, also violates this independence assumption. The comparability of temporal and spatial dependence is useful for illustrating why

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The first version of my “inference from iterative simulation using parallel sequences” paper!

May 9, 2012
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From August 1990. It was in the form of a note sent to all the people in the statistics group of Bell Labs, where I’d worked that summer. To all: Here’s the abstract of the work I’ve done this summer. It’s stored in the file, /fs5/gelman/abstract.bell, and copies of the Figures 1-3 are on Trevor’s The post The...

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Book “R and Data Mining: Examples and Case Studies” on CRAN

May 9, 2012
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Book “R and Data Mining: Examples and Case Studies” on CRAN

by Yanchang Zhao, RDataMining.com My book in draft titled “R and Data Mining: Examples and Case Studies” is now available on CRAN at http://cran.r-project.org/other-docs.html. It is scheduled to be published by Elsevier in late 2012. Its latest version can be … Continue reading →

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data.table version 1.8.1 – now allowed numeric columns and big-number (via bit64) in keys!

May 9, 2012
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This is a guest post written by Branson Owen, an enthusiastic R and data.table user. Wow, a long time desired feature of data.table finally came true in version 1.8.1! data.table now allowed numeric columns and big number (via bit64) in …Read more »

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The Epic Search for the Perfect R Text Editor

May 8, 2012
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  I can never seem to get exactly what I want from an R text editor. Let me correct that, I can never seem to get exactly what I want from an R text editor on a MAC. I used to use Tinn-R  which met most  my needs: Free,lightweight with ...

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The Epic Search for the Perfect R Text Editor

May 8, 2012
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  I can never seem to get exactly what I want from an R text editor. Let me correct that, I can never seem to get exactly what I want from an R text editor on a MAC. I used to use Tinn-R  which met most  my needs: Free,lightweight with ...

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Memory Management in R, and SOAR

May 8, 2012
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Memory Management in R, and SOAR

The more I’ve worked with my really large data set, the more cumbersome the work has become to my work computer.  Keep in mind I’ve got a quad core with 8 gigs of RAM.  With growing irritation at how slow … Continue reading →

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Data Science Books for Computational Journalists

May 8, 2012
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There are quite a few books out now on “data science”. I’ve picked out three that I think are the best place to start for computational journalists. First is Machine Learning for Hackers, by Drew Conway and John Myles White. The autho...

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R and Foursquare’s recommendation engine

May 8, 2012
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R and Foursquare’s recommendation engine

Foursquare, the mobile location-sharing app (of which I'm a big fan), has an excellent recommondation system. Based on your recent checkins, places your friends found popular, and even the time of day, Foursquare Explore will recommend a great place for a sushi lunch, or the best place to buy new shoes. This presentation from Foursquare engineer Ben Lee shows...

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Mapping US Radiation Levels in R

May 8, 2012
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Mapping US Radiation Levels in R

I have posted previously about the open data available on Socrata (https://opendata.socrata.com/), and I was looking at the site again today when I stumbled upon a listing of levels of various radioactive isotopes by US city and state. The data is available at https://opendata.socrata.com/Government/Sorted-RadNet-Laboratory-Analysis/w9fb-tgv6 . You will need to click export, and then download it as a...

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Heartbeat of a Cycling City: Bixi data at Hack/Reduce

May 8, 2012
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Heartbeat of a Cycling City: Bixi data at Hack/Reduce

The recent Hack/Reduce hackathon in Montreal was a tonne of fun. Our team tackled a data set of consisting of Bixi (Montreal’s bicycle share system) station states at one minute temporal resolution. We used Hadoop and mapreduce to pull out some features of user behaviours. One of the things we extracted was the flux at

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chartsnthings !

May 8, 2012
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Yair pointed me to this awesome blog of how the NYT people make their graphs. This blows away all other stat graphics blogs (including this one). Lots of examples from mockup to first tries to final version. I recognize a lot of what they’re doing from my own experience. Also from my experience it’s hard The post chartsnthings...

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“Introduction to R” public course

May 8, 2012
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Milano R net, in collaboration with Quantide, organizes an "Introduction to R" course Milano; June 7-8, 2012 Continue reading →

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Loading and/or Installing Packages Programmatically

May 8, 2012
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In R, the traditional way to load packages can sometimes lead to situations where several lines of code need to be written just to load packages. These lines can cause errors if the packages are not installed, and can also be hard to maintain, particularly during deployment. Fortunately, there is a way to create a function in R...

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A simple example of parallel computing on a Windows (and also Mac) machine

May 8, 2012
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A simple example of parallel computing on a Windows (and also Mac) machine

by Yanchang Zhao, RDataMining.com With a Mac, parallel computing can be achieved with package multicore. Unfortunately, it does not work under Windows. A simple way for parallel computing under Windows (and also Mac) is using package snowfall, which can work … Continue reading →

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Mapping US Radiation Levels in R

May 8, 2012
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Mapping US Radiation Levels in R

I have posted previously about the open data available on Socrata (https://opendata.socrata.com/), and I was looking at the site again today when I stumbled upon a listing of levels of various radioactive isotopes by US city and state. The data is available at https://opendata.socrata.com/Government/Sorted-RadNet-Laboratory-Analysis/w9fb-tgv6 . You will need to click export, and then download it as a csv. ...

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Learn formatR in Two Minutes

May 8, 2012
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Anthony made a video tutorial on how to use the formatR package, which I think is pretty cool: I wish I could speak English as fast as him...

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Loading and/or Installing Packages Programmatically

May 7, 2012
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In R, the traditional way to load packages can sometimes lead to situations where several lines of code need to be written just to load packages. These lines can cause errors if the packages are not installed, and can also be hard to maintain, particularly during deployment. Fortunately, there is a way to create a function in R that...

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Cross Sectional Correlation

May 7, 2012
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Cross Sectional Correlation

Diversification is hard to find nowadays because financial markets are becoming increasingly correlated. I found a good visually presentation of Cross Sectional Correlation of stocks in the S&P 500 index in the Trading correlation by D. Varadi and C. Rittenhouse article. Let’s compute and plot the average correlation among stocks in the S&P 500 index

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The hockeystick revisited

May 7, 2012
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The hockeystick revisited

Previous posts: Correlation of temperature proxies with observations The “best” proxies for temperature reconstruction Okay, I couldn’t resist. I wanted to provide some more in depth analysis of temperature proxies, but I just went ahead and did my own little reconstruction of Northern hemisphere annual average temperatures over the past millenium using McShane et al.‘s

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relevant, revised, & resubmitted

May 7, 2012
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relevant, revised, & resubmitted

We have now completed our revision of the paper Relevant statistics for Bayesian model choice, written with Judith Rousseau, Jean-Michel Marin, and Natesh Pillai. It has been resubmitted to Series B and reposted on arXiv. The major change in the paper is the inclusion of a check about the relevance of a given summary statistics,

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useR! 2012 – DEADLINE FAST APPROACHING!

May 7, 2012
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useR! 2012 – DEADLINE FAST APPROACHING!

DEADLINE FAST APPROACHING – 8th Annual International R User Conference useR! 2012, Nashville, Tennessee USA Registration Deadlines: Early Registration: Passed Regular Registration: Mar 1- May 12 Late Registration: May 13 – June 4 On-Site Registration: June 12 – June 15 Please note: Nashville is offering several large entertainment events the month of June, and hotels are quickly selling out....

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