On Twitter last night, I spotted @milktrader from www.algorithmzoo.com doing some range research on equity indexes. I offered a tweet on the crazy Russell 2000 17% move over 7 days. Within 10 minutes, I discovered a signal that worked very ...

I once heard John Chambers (the inventor of the S language, and member of the R Core Group) say, "Show me a programming language no-one complains about, and I'll show you a language no-one uses". The R language has its fair share of complainants, to be sure -- and that's to be expected for a language with more than...

In part 3, we ran a logistic model to determine the probability of default of a customer. We also saw the outputs and tried to judge the performance of the model b plotting the ROC curve. Let's try a different approach today. How about a decision tree?...

This is the first post in the series about Asset Allocation, Risk Measures, and Portfolio Construction. I will use simple and naive historical input assumptions for illustration purposes across all posts. In these series I plan to discuss: Maximum Loss, MAD, CVaR, CDaR, Omega Risk Measures 130:30 Long/Short portfolios and Cardinality Constraints Arithmetic and Geometric

In this article, Hans Gilde exposes the clever use of a heatmap hidden in the Bioconductor library. In his example, he describes a way to show different ‘observations’ on subjects, with the concept of time. Financial indices, like the S&P 500 or the Dow Jones indices, are mathematically some kind of measure of overall market

To me, this post by Christophe Ladroue personifies what data doodlers do.They take a dataset that is of interest to them (In his case, his triathlon results) and then they manipulate the numbers to see what insights can be drawn. Most bloggers only sho...

The two translators of our book in Japanese, Kazue & Motohiro Ishida, contacted me about some R code mistakes in the book. The translation is nearly done and they checked every piece of code in the book, an endeavour for which I am very grateful! Here are the two issues they have noticed (after incorporating

Impressive. You are not alone!

If you missed last week's webinar from Bob Muenchen, "Introduction to R for SAS and SPSS users", you missed a great overview of the R Project and how it compares to commercial statistical software. Bob's slides are below, and you can download the slides and replay from the Revolution Analytics website. Bob pointed out a couple of really useful...

Check out this talk by John Rauser of AMZN at the 2011 Strata Conf. It is an excellent intro to the field.

Some scholars suggest that multiply imputing an outcome variable is incorrect. I use intuition and simulation to argue that multiply imputing outcomes can drastically improve estimates, even in the case of non-ignorable missingness. Continue reading &#...

Every year there is at least a couple of occasions when I have to simulate multivariate data that follow a given covariance matrix. For example, let’s say that we want to create an example of the effect of collinearity when … Continue reading →

I normally work with full numerical data, not categorical data. R, when using read.csv() seems to recognize such categories and marks the column as to have factor levels. This is useful indeed. However, I wanted to make a PCA biplot on this data, so wa...

Update 10/11/2011: There’s a good discussion on RedditUpdate 10/12/2011: Note manipulate package and highlight data.table packageThe R statistical computing platform is a rising star that’s been gaining popularity and attention, but it gets no respect in the hood. It’s telling that a popular guide to R is called The R Inferno, and that advocacy pieces Follow me on...

Karl Broman writes: Barry Rowlingson gave an interesting talk at UseR 2011, “Why R-help must die!” He suggested the Q-and-A type sites Stack Overflow (on programming) and Cross Validated (on statistics), both part of Stack Exchange. I haven’t used R-help recently but I do occasionally send people there. Just to see what was going on The post Why...

Yesterday I launched my first question at Stackoverflow and apparently did a lot of things wrong as I managed to get my question closed wihtin hours http://stackoverflow.com/questions/7728462/identify-records-in-data-frame-a-not-contained-in-data-frame-b I had collected 9 different solutions to the problem and made the mistake to put it all within the original question space. So people complained and told me … Continue reading...

As Le Monde weekend has yet again changed its format (with so much more advertisements for luxurious items that I sometimes wonder whether or not this is the weekend edition of Le Monde!], it took me a while to locate the mathematical puzzle. The good news is there now is a science&techno leaflet with, at

(Contributing blogger Joe Rickert has put together a fantastic list of data sources suitable for use with R. If you're looking for data to use in the Applications of R Contest -- entries close October 31 -- this is a great resource for you -- Ed.) Hardly a day goes by without someone or something reminding me that we...