Summarizing Returns with R

August 2, 2011
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Summarizing Returns with R

Often I like to see the performance of a trading strategy summarized annually, quarterly or by month. In R, we start off with the summary function: Given a series xx, usually a chunk of the original, this function returns the accumulative returns for the period. The leverage is useful to somewhat simulate leveraged ETFs. The

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Merging Two Different Datasets Containing a Common Column With R and R-Studio

August 2, 2011
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Merging Two Different Datasets Containing a Common Column With R and R-Studio

Another way for the database challenged (such as myself!) for merging two datasets that share at least one common column… This recipe using the cross-platform stats analysis package, R. I use R via the R-Studio client, which provides an IDE wrapper around the R environment. So for example, here’s how to merge a couple of

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JSM 2011 [3]

August 2, 2011
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JSM 2011 [3]

Monday August 01 was the first full day of JSM 2011 and full is the appropriate word to describe the day! It started for me at 7am with a round table run by Marc Suchard on parallel computing (or at 3am if I am considering the time I woke up!). I was rather out of

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Dividend Quartiles with Kenneth French Data

August 1, 2011
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Dividend Quartiles with Kenneth French Data

Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks.  Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we c...

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LaTeX Typesetting –Basic Mathematics

August 1, 2011
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LaTeX Typesetting –Basic Mathematics

LaTeX is very strong for typesetting mathematical equations. Fast Tube by Casper Other useful resources are provided on the Supplementary Material page.

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Google Trends, R, and the NFL

August 1, 2011
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Google Trends, R, and the NFL

A week or so ago I saw a tweet related how the NFL lockout was affecting the search traffic for “fantasy football” on Google (using Google Trends).  Basically, the search traffic (properly normalized on Google Trends) was down prior to … Continue reading →

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On not going viral

August 1, 2011
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On not going viral

This week the reader is directed to Messy Matters to read up on research conducted by Sharad Goel, Duncan Watts and Dan Goldstein in which they hunted for traces of "viral" diffusion on Twitter, Facebook, Yahoo!, and beyond. The results run counter to mainstream intuition.

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ISMB coverage on Twitter? It’s possible there was…

July 31, 2011
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ISMB coverage on Twitter? It’s possible there was…

Peter writes: I wonder if part of the drop off is live bloggers moving to platforms like Twitter? I can tell you it seemed like there were almost as many tweets for one SIG (#bosc2011) as for the whole of #ISMB / #ECCB2011, and I personally didn’t post anything to FriendFeed but posted lots on

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CRU Data in RghcnV3

July 31, 2011
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CRU Data in RghcnV3

As many have noted CRU have posted their data a bit ago and the usual gang has started to put it through the various “engines” for calculating a global temperature index. Thanks to others who worked this problem ahead of me getting the data in Rghcnv3 was not that hard, but it was not without

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Welcome to rOpenSci

July 31, 2011
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rOpenSci is a collaborative effort to develop R-based tools for facilitating Open Science. So what is Open Science?  Open science is the practice of making various elements of scientific research — data & methods, code & software, and results & publications — readily accessible to anyone. While this has great potential for advancing research (in

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Taking August off!

July 31, 2011
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Taking August off!

We'll be back with recharged batteries and lots of new entries in September. Have a great summer*!As usual, please send any questions you have about using SAS or R.*Not valid in the southern hemisphere.

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Your Data is Never the Right Shape

July 31, 2011
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Your Data is Never the Right Shape

One of the recurring frustrations in data analytics is that your data is never in the right shape. Worst case: you are not aware of this and every step you attempt is more expensive, less reliable and less informative than you would want. Best case: you notice this and have the tools to reshape your Related posts:

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Getting My Eye In Around F1 Quali Data – Parallel Coordinate Plots, Sort of…

July 30, 2011
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Getting My Eye In Around F1 Quali Data – Parallel Coordinate Plots, Sort of…

Looking over the sector times from the qualifying session for tomorrow’s Hungarian Grand Prix, I noticed that Vettel was only fastest in one of the sectors. Whilst looking for an easy way of shaping an R data frame so that I could plot categorical values sector1, sector2, sector3 on the x-axis, and then a line

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hacking .gov shortened links

July 30, 2011
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hacking .gov shortened links

This past Friday, the web portal to the US Federal government, USA.gov, organized hackathons across the US for programmers and data scientists to work with and analyze the data from their link-shortening service. It turns out that if you shorten a web link with bit.ly, the shortened link looks like 1.usa.gov/V6NpL (that one goes to

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RStudio 0.94.92 visited

July 30, 2011
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RStudio 0.94.92 visited

I just updated my RStudio version to the latest, v.0.94.92 (will this asymptotically approach 1, or actually get to 1?). It was nice to see the number of improvements the development team has implemented, based I’m sure on community feedback. The team has, in my experience, been extraordinarily responsive to user feedback, and I’m sure

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Forking Myself

July 29, 2011
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Forking Myself

I’ve spent some time forking myself. Over the past few days when I could steal away an hour here  or there I decided to make a big change to the package. But it’s a good change. First some book-keeping. The Romantest.R file has a minor bug in it. Not really a bug, I just pulled

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Splitting Vectors of Uneven Strings

July 29, 2011
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Splitting Vectors of Uneven Strings

Suppose you have a vector of names such that the first three words in the vector contain relevant information, but there is a bunch of extraneous stuff. For example,Our goal is to collapse the first three words into one contiguous string (without the ...

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Text Editors in The Lord of the Rings

July 29, 2011
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Text Editors in The Lord of the Rings

Prompted by a passing thought about TextMate, I thought I'd make a comprehensive, accurate, unbiased, and irrefutable survey of text editors by way of comparison to locations in The Lord of the Rings. TextMate: Minas Tirith A once-great but now decaying city. Only the King has the power to renew it, but he is a long absent, indeed...

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Text Editors in The Lord of the Rings

July 29, 2011
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Text Editors in The Lord of the Rings

Prompted by a passing thought about TextMate, I thought I’d make a comprehensive, accurate, unbiased, and irrefutable survey of text editors by way of comparison to locations in The Lord of the Rings. TextMate: Minas Tirith A quiet, long-overlooked land populated by simple folk who keep mostly to themselves. They are somewhat set in their

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NppToR 2.6.0 beta 2

July 29, 2011
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http://sourceforge.net/projects/npptor/files/npptor%20installer/NppToR-2.6.0.beta2.exe/download I’ve released beta 2 of NppToR 2.6.0.  Please take a look and report any problems.  This improves the installer and the uninstaller as well as a few bugs that popped up from the transition to UNICODE.

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The Road to Default: Whaa???

July 29, 2011
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The Road to Default: Whaa???

Okay so here is what has been happening:The yield curve has been going through a mad flattening- indicating that investors are "flying to safety" and that a recession may be looming around the corner. Why has it been flattening? Well, a string of bad n...

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multi-platform real-time ‘intro’ in R using rdyncall

July 29, 2011
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multi-platform real-time ‘intro’ in R using rdyncall

Guest post by Daniel Adler. Below is a real-time audio-visual multimedia demonstration – or in short ‘an intro’ – written in 100% pure R. It requires no compilation and runs across major platforms via the package rdyncall and preinstalled precompiled standard libraries such as OpenGL and SDL libraries. This ‘happy-birthday’ production runs about 3 minutes

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Financial Engineering with R

July 29, 2011
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At the InformationManagement blog, Steve Miller talks about the applications of R to financial engineering, and reviews David Ruppert's book Statistics and Data Analysis for Financial Engineering. InformationManagement: Statistics and Financial Engineering

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Infovis vs. statgraphics: A clear example of their different goals

July 29, 2011
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Infovis vs. statgraphics:  A clear example of their different goals

I recently came across a data visualization that perfectly demonstrates the difference between the “infovis” and “statgraphics” perspectives. Here’s the image (link from Tyler Cowen): That’s the infovis. The statgraphic version would simply be a dotplot, something like this: (I purposely used the default settings in R with only minor modifications here to demonstrate what The post Infovis...

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[R][ggplot2][R-bloggers]RcmdrPlugin.KMggplot2_0.0-3 is on CRAN now

July 28, 2011
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[R][ggplot2][R-bloggers]RcmdrPlugin.KMggplot2_0.0-3 is on CRAN now

RcmdrPlugin.KMggplot2 (CRAN) I posted an Rcmdr plug-in for a ”ggplot2” GUI front-end on CRAN. This version supports Kaplan-Meier plot and other plots as follow: Kaplan-Meier plot Show no. at risk on inside Show no. at risk table on outside Histogram Colo

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Text Editors in The Lord of the Rings

July 28, 2011
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Text Editors in The Lord of the Rings

Prompted by a passing thought about TextMate, I thought I’d make a comprehensive, accurate, unbiased, and irrefutable survey of text editors by way of comparison to locations in The Lord of the Rings. TextMate: Minas Tirith A once-great but now decaying city. Only the King has the power to renew it, but he is a long absent, indeed...

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Challenge alert — material identification

July 28, 2011
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Challenge alert — material identification

We start yet another series of post — challenge alerts. This series is intended to share news about machine learning or data mining challenges which may be interesting to the members of our community, possibly with some brief introduction to the problem. So if you hear about some contest, notify us on Skewed distribution. Today

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Le Monde puzzle [#29]

July 28, 2011
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Le Monde puzzle [#29]

This week, the puzzle from the weekend edition of Le Monde was easy to state: in the sequence (8+17n), is there a 6th power? a 7th? an 8th? If so, give the first occurrence. So I first wrote an R code for a function testing whether an integer is any power: (The function returns the

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Pattern Recognition: forward Boxplot Trajectories using R

July 28, 2011
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Pattern  Recognition: forward Boxplot Trajectories using R

Although the following discussion can apply to the Quantitative Candlestick Pattern Recognition series, it is addressing the same issue as any basic conditional type system -- how and when to exit.  The following is one way to visualize and think ...

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