It has always been a dream of mine to incorporate R graphs and analysis in an Advent Axys report. The unbelievable work from the guys at Statconn http://rcom.univie.ac.at/ make this dream possible. If we use the same perhstsp.rep created fo...

Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the course materials are available online, and make an excellent...

As a PhD student that uses quantitative methods a lot, one annoying part of my job is to type up my results, especially formatting tables with regression models can be a lot of work. Luckily there is an excellent package in R, apsrtable, which will gen...

I have never been one to set New Year’s resolutions. Personally, they instill a dangerous personal freedom that often yield naive, subconscious mentalities, such as I can do anything I want until December 31, and I will change abruptly the next day. ...

Equal risk contribution of assets determines the asset weights given the variance matrix. How sensitive are those weights to the variance estimate? Previously The post “Risk parity” gave an overview of the idea. In particular it distinguished the cases: the assets have equal risk contribution groups of assets have equal risk contribution A key difference … Continue reading...

One new-year resolution I made last year was to understand where my money goes. From previous experiments I know that expense tracking has to be as simple as possible. My approach is toUse my cash card as often as possible. This automatically tracks the date and some information on the vendor. Use twitter to track my cash expenses. This supplements...

This is the second lesson of CloudStat School, Lesson 2: Values & Variables. At the end of the lesson 2, you should know: 1. Inserting values into valuables 2. Calling valuables 3. Simple operation within variables. 2.1 Assign/Insert Values into Vari...

Today was my 29th birthday, and I kept things simple: I ate with my wife and my newborn son at a local eatery. Later, my wife cooked steaks for dinner. For the most part, I took the day off in that I did not work on my dissertation. But I did spent muc...

I solve Project Euler problems for recreation. I am using the Statistical Language R to solve these. R is free for use and download, so I would recommend downloading it if you are interested in Statistical computation. This is problem 22 from Project E...

As the ‘Og reached its 1500th post and 3000th comment at exactly the same time, a wee and only mildly interesting Sunday morning foray in what was posted so far and attracted the most attention (using the statistics provided by wordpress). The most visited posts: Title Views Home page 203,727 In{s}a(ne)!! 7,422 “simply start over

Introduction R-bloggers.com is a blog aggregator maintained by Tal Galili. It is a great website for both learning about R and keeping up-to-date with the latest developments (because someone will probably, and very kindly, post about the status of some R related feature). There is also an R-bloggers facebook page where a number of

If you've been following the presidential primary process here in the US, you've probably seen many maps of the results of the Iowa caucuses by now (such as this infamous one from Fox News). But you might be interested to learn how such maps can be made using the R language. The Offensive Politics blog explains the process in...

Quantum Financier wrote an interesting article Regime Switching System Using Volatility Forecast. The article presents an elegant algorithm to switch between mean-reversion and trend-following strategies based on the market volatility. Two model are examined: one using the historical volatility and another using the Garch(1,1) Volatility Forecast. The mean-reversion strategy is modeled with RSI(2): Long when

In my previous post I showed how to write a small simple python script to download the pages of R-bloggers.com. If you followed that post and ran the script, you should have a folder on your hard drive with 2409 .html files labeled post1.html , post2....