Weight compared to risk fraction

April 18, 2011
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Weight compared to risk fraction

How well do asset weight constraints constrain risk? The setup In “Unproxying weight constraints” I claimed that many constraints on asset weights are really a proxy for constraining risk. That is not a problem if weights are a good proxy for risk.  So the question is: how good of a proxy are they? To give … Continue reading...

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Historical Sources of Bond Returns-Comparison of Daily to Monthly

April 17, 2011
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Historical Sources of Bond Returns-Comparison of Daily to Monthly

Thanks so much for the comment on my last post Historical Bond Price and Total Returns from 10y Yield Series “I know this might sound antithetical to a bond guy, but won't the monthly series get you close enough? “ which proved me wrong and allow...

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A Creative Use of R

April 17, 2011
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A Creative Use of R

Update (5/18/2011): Looks like Freakonomics approves as well. Let the record show that I approved first :)I approve: "I use the open-source program R to create the patterns."But, I'm not sure I approve of calling these distributions "evil."In case you...

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A Creative Use of R

April 17, 2011
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A Creative Use of R

Update (5/18/2011): Looks like Freakonomics approves as well. Let the record show that I approved first :)I approve: "I use the open-source program R to create the patterns."But, I'm not sure I approve of calling these distributions "evil."In case you...

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Export a Table Created by R to a TeX File

April 17, 2011
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Export a Table Created by R to a TeX File

I am using xtable package of R to produce all the necessary codes for producing table suitable for LaTeX, and also discussing how to export the codes to a tex file. Producing tables in LaTeX might be a difficult task as we can not just copy and paste a table in the editor; we have to write all the...

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Export a Table Created by R to a TeX File

April 17, 2011
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Export a Table Created by R to a TeX File

Producing tables in LaTeX might be a difficult task as we can not just copy and paste a table in the editor; we have to write all the numbers and other codes. But with the help of xtable package of R it is possible to produce all the necessary codes for producing table in LaTeX and also possible to...

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Going over the speed limit

April 17, 2011
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Going over the speed limit

In an earlier post   I had reported on how R compared with Stata for executing algorithms involving maximum likelihood estimation. This post  offers the following updates on the last post: Stata is in fact even faster than previously reported. The 64-bit version of the newly...

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Going over the speed limit

April 17, 2011
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Going over the speed limit

In an earlier post   I had reported on how R compared with Stata for executing algorithms involving maximum likelihood estimation. This post  offers the following updates on the last post: Stata is in fact even faster than previously reported. The 64-bit version of the newly...

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Exporting R graphics as LaTeX code – version 0.6.1 of the tikzDevice package is out

April 17, 2011
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(Guest post on R-bloggers by Charlie Sharpsteen) Cameron and I are pleased to announce version 0.6.0 of the tikzDevice package which should be available shortly at your local CRAN mirror! The tikzDevice makes it possible to export R graphics as LaTeX code that can be included in other documents or compiled into stand alone figures. The full power of...

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Statistics without Maths

April 17, 2011
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Statistics without Maths

I got an interesting message from Chris Atherton the other day who has offered to do a workshop at the Technical Communications UK conference on statistics and data visualisation. The problem is that for some tech writers, their understandin...

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Rcpp article in JSS

April 17, 2011
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Rcpp article in JSS

The Journal of Statistical Software published our Rcpp article

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Rcpp article in JSS

April 17, 2011
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Rcpp article in JSS

The Journal of Statistical Software published our Rcpp article

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Pivot Tables and Medians in R

April 16, 2011
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Pivot Tables are a useful way of aggregating data into the format that you’re after. In this example, I’m going to be using R to pivot some data and calculate medians for me. This is useful because Excel can calculate medians (the =MEDIAN(values)) function, but what it can’t do is calculate medians for Pivot Tables.

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Phylometa from R: Randomization via Tip Shuffle

April 16, 2011
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Phylometa from R: Randomization via Tip Shuffle

I wrote earlier about some code I wrote for running Phylometa (software to do phylogenetic meta-analysis) from R.I have been concerned about what exactly is the right penalty for including phylogeny in a meta-analysis. E.g.: AIC is calculated from Q in...

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Trackman Position Needs R Knowledge

April 16, 2011
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Thought some of the R-Blogger readers would be interested in the position linked below. If you're a baseball fan and like working in R, this is a fun company that seems to be getting more and more press. Recently, it was featured in Sports Illustrate...

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Trackman Position Needs R Knowledge

April 16, 2011
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Thought some of the R-Blogger readers would be interested in the position linked below. If you're a baseball fan and like working in R, this is a fun company that seems to be getting more and more press. Recently, it was featured in Sports Illustrate...

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Speeding up agent-based simulations with data frames in R

April 16, 2011
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In health economics it is common to use agent-based simulations for exploring epidemiological models, prevention policies, and clinical interventions, among other things. In C++ I enjoy using object-oriented design to build these agent-based models. It feels so natural. In R, … Continue reading →

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Historical Bond Price and Total Returns from 10y Yield Series

April 15, 2011
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Historical Bond Price and Total Returns from 10y Yield Series

Without access to Barclays or Merrill Bond Indicies to the 1970s or Ned Davis to 1950, studying historical bond returns is very difficult.  Here is a way to derive price and total returns on the 10 year US Treasury back to 1962.  I would like...

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Introduction to Cointegration and Pairs Trading

April 15, 2011
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Introduction to Cointegration and Pairs Trading

Introduction Suppose you see two drunks (i.e., two random walks) wandering around. The drunks don’t know each other (they’re independent), so there’s no meaningful relationship between their paths. But suppose instead you have a drunk walking with her dog. This … Continue reading →

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Friday Function: setInternet2

April 15, 2011
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Friday Function: setInternet2

Corporate IT networks are a pain for programmers. Ideally, when programming, you want the freedom to download, install and run any software that you want. Unfortunately, in the interests of security, many programmers find themselves a little restricted at the office. (I’m sure that many network admins will protest that the situation works both ways

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Slides and replay for PMML webinar

April 15, 2011
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If you missed Wednesday's webinar on Deploying Predictive Analytics with Revolution R, PMML and ADAPA, the presentation slides and the replay (in WMV, reg. req'd) format are now available for download. Here are some additional references, from the closing slide: How Revolution R and ADAPA work together The PMML Package reference White Paper: Deploying Advanced Analytics Using R and...

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Visualizing tax brackets

April 15, 2011
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Visualizing tax brackets

With Tax Day fast approaching here in the US, there's been a lot of discussion about tax policy and in particular the tax rates paid by the highest income earners. Like in many countries, here the income tax system is bracketed: Tax Bracket Single Married Filing Jointly 10% Bracket $0 – $8,375 $0 – $16,750 15% Bracket $8,375 –...

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Rook shipped to CRAN

April 15, 2011
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Rook shipped to CRAN

I sometimes feel like this picture: alone, left with just my thoughts and a little light to illuminate my work. For my daughter pictured above on the stool, her work is a pen and ink drawing. For me, it’s a finished piece of software to share with t...

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RStudio 0.93 Beta Available

April 15, 2011
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In case you miseed, 0.93 Beta of RStudio is released! A good set of fixes, including vignette() (sorry edit() not compatible yet). The panel layout is fully customizable, and there are a load of bug fixes.See the Release Notes for more info.

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RStudio 0.93 Beta Available

April 15, 2011
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RStudio  0.93 Beta Available

In case you miseed, 0.93 Beta of RStudio is released! A good set of fixes, including vignette() (sorry edit() not compatible yet). The panel layout is fully customizable, and there are a load of bug fixes.See the Release Notes for more info.

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Recursive Trading System in R

April 15, 2011
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Recursive Trading System in R

I have a trick knee. Normally, it works just fine. But if I stand on my head when its raining on Tuesdays and Thursdays and pinch my nose, it hurts. Not just a little. It hurts a lot. I went to the doctor and he told me not to stand on my head when it'...

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Download R 2.13.0 for Windows

Some of you may hear that the new release of R 2.13.0 is out, with some Windows-specific changes to R 2.13.0:file.exists() and unlink() have more support for files > 2GB;A few more file operations will now work with >2GB files.which could help us to relieve the worry of handling large datasets in R.

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RStudio and RTextTools: A Perfect Pairing

The development team has spent the past six months creating the best possible experience for RTextTools users. A few months into development, we heard about a new IDE called RStudio, which has one of the cleanest interfaces to R we've seen. It integrates many R tools (graphing, file management, workspace management, tabbed source editor, and more) into a single,...

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How to upgrade R on windows 7

April 15, 2011
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Background – time to upgrade to R 2.13.0 The news of the new release of R 2.13.0 is out, and the R blogosphere is buzzing. Bloggers posting excitedly about the new R compiler package that brings with it the hope to speed up our R code with up to 4 times improvement. So it is time

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