## Great FAJ Article on Statistical Measure of Financial Turbulence

April 21, 2011
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I particularly liked this well-written paper, since unlike most academic research, I was able to understand it, replicate it, and incorporate it.  I know that the Financial Analyst Journal is not considered by the academic community as a top-ti...

## stalkR: R functions for exploring iPhone and iPad (OS X only)

April 21, 2011
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Yesterday Alasdair Allan and Pete Warden shocked the world by revealing that iPhones and iPads have been keeping track of our every move, and saving the data in obfuscated back up files. As my friend Vince Buffalo mentioned on Twitter, part of me was disgusted by the secret stalking Steve Jobs was doing, but my

## Permutation Test with Stratified Data and Repeated Measurements

April 21, 2011
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This is an example for a permutation test on stratified samples with repeated measurements. Samples are interdependent firstly because they come from several sites and secondly because the sampling was repeated a second time. That is samples of the sam...

## Open Source replacements for Operations Research and Analytics Software

April 21, 2011
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I was reading an article from Datamation on 70 Open Source Replacements for Small Business when I noticed a glaring omission.  Where are the software applications for Operations Research and Analytics?  So here is my best addendum to this art...

## Open Source replacements for Operations Research and Analytics Software

April 21, 2011
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I was reading an article from Datamation on 70 Open Source Replacements for Small Business when I noticed a glaring omission.  Where are the software applications for Operations Research and Analytics?  So here is my best addendum to this art...

## Good Looking Maps in R

April 21, 2011
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I haven't yet tried this, but it looks like a nice package.In one recent project I needed to draw several maps and visualize different kinds of geographical data on it. I found the combination of R/ggplot/maps package extremely flexible and powerful,...

## Good Looking Maps in R

April 21, 2011
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I haven't yet tried this, but it looks like a nice package.In one recent project I needed to draw several maps and visualize different kinds of geographical data on it. I found the combination of R/ggplot/maps package extremely flexible and powerful,...

## Thomas Bayes, 250 years later

April 21, 2011
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A link on R-bloggers signaled a series of blogs and videos by IBM Netezza about Thomas Bayes and the consequences of his theorem. Which made me realise this was indeed the 250th anniversary of his death, and that maybe we (as a collective, incl. ISBA) should have done something on April 17th… Before the Revolution

## New R User Group in Gießen, Germany

April 21, 2011
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It's great to see new local R user groups popping up around the world, and the latest one is based in Gießen, Germany (about 70km north of Frankfurt). The Giessen R Users Group has its first meeting on May 10 with a discussion on applications of R to social media (with an example related to Twitter). meetup.com: Giessen R...

## Did I Say Rack?

April 21, 2011
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I can tolerate a lot of things, like the haters on reddit, even a colleague calling me out to be a jerk. But when my wife starts talking to me really fast and using herhands, then I need to rethink my position: Me: “Hey come here and look at these co...

## What helped the the Egyptian revolution the most: Twitter, or the government switching it off?

April 21, 2011
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I have been really interested in the "meme" that the Egyptian revolution was "the first social media revolution" and have tolerated infographics that correlate specific twitter activity with events in Egypt beyond. And I am sure we have all reminded ourselves that correlation is not causation. I was recently listening to an Egyptian colleague who

## What helped the the Egyptian revolution the most: Twitter, or the government switching it off?

April 21, 2011
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I have been really interested in the "meme" that the Egyptian revolution was "the first social media revolution" and have tolerated infographics that correlate specific twitter activity with events in Egypt beyond. And I ...

## (Almost) Friday Function: alarm

April 21, 2011
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Last week I decided to start a weekly column detailing an interesting function each Friday, entirely forgetting that I would be on holiday, without internet access (shock horror!), tomorrow. So here’s your column a little early. The alarm function is something of a novelty, in that all it does is to make an annoying noise

## Survival skills for today’s analyst

April 21, 2011
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I suffer a little from the age-old affliction of contrarianism. If a software package is used by the majority of the population, I assume it is flawed, highly limited, and its continued use will ultimately result in the downfall of the human race. Conversely, I am always extremely interested in a piece of software that has spread no further...

## Survival skills for today’s analyst

April 21, 2011
By

I suffer a little from the age-old affliction of contrarianism. If a software package is used by the majority of the population, I assume it is flawed, highly limited, and its continued use will ultimately result in the downfall of the human race. Conversely, I am always extremely interested in a piece of software that has spread no further...

## supercalifragilisticexpialidocious = 1

April 21, 2011
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I notice that the latest version of R has upped the maximum length of variable names from 256 characters to a whopping 10 000! (See ?name.) It makes the 63 character limit in MATLAB look rather pitiful by comparison. Come on MathWorks! Let’s have the ability to be stupidly verbose in our variable naming! Tagged:

## Non-standard assignment with getSymbols

April 21, 2011
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I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod package. The power and simplicity

## Day #28 ggplot2 in knime

April 21, 2011
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If you haven’t read yesterday’s post, I advise you to do so, because this is the fix of yesterday. Day #27: A lot of graphics in one place I found out how to use ggplot2 in knime. Say, for example, your code is this: library(ggplot2) myplot...

## Risk fraction constraints and volatility

April 21, 2011
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What is the effect on predicted and realized volatility of substituting risk fraction constraints for weight constraints? Previously This post depends on two previous blog posts: “Unproxying weight constraints” “Weight compared to risk fraction” The exact same sets of random portfolios are used in this post that were generated in the second of these. Payoff … Continue reading...

## iPhone geo-tracking database

April 20, 2011
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So the web lit up a little today with news that iPhones are collecting time-stamped location data, and in a form that isn’t particularly hard to look at (and even with some nice apps to make animated maps of your travels etc): The database is SQLite, and I used R (and the RSQLite package) to

## ARMA Models for Trading, Part II

April 20, 2011
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We left the last post at the point of determining the best ARMA model. Before continuing the discussion, however, I would like to make a few points that might seem a bit questionable or unclear: We model the daily returns instead of the prices. There are multiples reasons: this way financial series usually become stationary,

## How to Source an R script automatically on a Mac using Automator and iCal

April 20, 2011
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I wrote an R script that pulled data from an RSS feed.  The RSS feed updated frequently, so I wanted to be able to schedule the script to run automatically.  After some tinkering, I got it to work by implementing the steps below.  Note t...

## How to Source an R script automatically on a Mac using Automator and iCal

April 20, 2011
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I wrote an R script that pulled data from an RSS feed.  The RSS feed updated frequently, so I wanted to be able to schedule the script to run automatically.  After some tinkering, I got it to work by implementing the steps below.  Note t...

## Day #27 A lot of graphics in one place

April 20, 2011
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assignment in R Today my internship-promotor gave me the assignment to create this chart in R. This means: I get a lot of data and put a certain column on a barchart for each plate. On top of that data, you place 2 errorbars. At first I thought, piece ...

## Whither rApache and Rook (for R)

April 20, 2011
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The above picture shows what an apache child process will look like once I add Rook support to rApache. An explanation of the above: 1) The light-orange colored box describes the apache process space. 2) Everything in blue, whether light-blue or cyan,...

## Using LaTeX for Math Formulas on the Web

April 20, 2011
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$SS_{err}=\sum_i({y_i-\hat{y}_i})^2$

I love the idea of using R+LaTeX+Sweave for reproducible research. This is even easier now that R has a jazzy new IDE that supports Sweave syntax highlighting and automatic PDF generation.I know I'm going to take some flak for saying this, but let's be...

## Using LaTeX for Math Formulas on the Web

April 20, 2011
By

I love the idea of using R+LaTeX+Sweave for reproducible research. This is even easier now that R has a jazzy new IDE that supports Sweave syntax highlighting and automatic PDF generation. I know I'm going to take some flak for saying this, but let's ...

## Bootsrap Confidence Intervals, Stratified Bootstrap

April 20, 2011
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Here's a worked example for comparing group averages with bootstrap confidence intervals and allowing for different subsample sizes by calling the strata argument within the bootstrap function.The data is set up analogous to an before-after impac...