Genetic Algorithm Systematic Trading Development — Part 1

February 15, 2010
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Genetic Algorithm Systematic Trading Development — Part 1

I want to start with a brief introduction to what I consider one of the most powerful learning methodologies to come out of Artificial Intelligence in the last several decades-- the Genetic Algorithm. Although it was originally developed to model evol...

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Two-way Analysis of Variance (ANOVA)

February 15, 2010
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Two-way Analysis of Variance (ANOVA)

The analysis of variance (ANOVA) model can be extended from making a comparison between multiple groups to take into account additional factors in an experiment. The simplest extension is from one-way to two-way ANOVA where a second factor is included in the model as well as a potential interaction between the two factors. As an example

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R vs. Matlab – a small example

February 15, 2010
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R vs. Matlab – a small example

At the institute I’m working quite a lot of people prefer using Matlab and only a few of them know about R. Today one of my colleagues — who is also an eager user of Matlab — ran into the following problem: He had a vector in hand which consisted of elements. He wanted to

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Bay Area meet-up Tuesday: John Chambers speaks, cocktail reception

February 15, 2010
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At tomorrow's meeting of the Bay Area R User's Group, ACM Software Systems award winner and R Core Group member John Chambers will give a keynote talk on the R language. The talk, titled Interfaces and Paradigms, will explore choices for computing with data with visits along the way to the history of R, reasons for the growth of...

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Rcpp 0.7.7

February 14, 2010
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pre{ border: 1px solid black ; font-size: small ; } A good 2 days after 0.7.6 was released, here comes Rcpp 0.7.7. The reason for this release is that a subtle bug installed itself and we did not catch it in time The new version also includes ...

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Rcpp 0.7.7

February 14, 2010
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Version 0.7.7, a shiny new bug fix release of Rcpp, our set of R / C++ interface classes, just arrived on CRAN and in Debian. The Language class had a real bug leading to this new release just two days after 0.7.6. 0.7.7 2010-02-14 o new template cla...

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Rcpp 0.7.7

February 14, 2010
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Version 0.7.7, a shiny new bug fix release of Rcpp, our set of R / C++ interface classes, just arrived on CRAN and in Debian. The Language class had a real bug leading to this new release just two days after 0.7.6. 0.7.7 2010-02-14 o new te...

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Cure model using R

February 13, 2010
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Cure model using R

The package "nltm" seems to be able to estimate proportional hazard and proportional odds cure models. I will do some experiments and see how it goes.

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Rcpp 0.7.6

February 13, 2010
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The new 0.7.6 release of Rcpp, our set of R / C++ interface classes, is now at CRAN and Debian. This comes just a few days after 0.7.5 as we had made a mistake in Makefile.win which is now fixed. A few other things sneaked in while were at it, see the ...

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Rcpp 0.7.6

February 13, 2010
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The new 0.7.6 release of Rcpp, our set of R / C++ interface classes, is now at CRAN and Debian. This comes just a few days after 0.7.5 as we had made a mistake in Makefile.win which is now fixed. A few other things sneaked in while were at it, see th...

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highlight 0.1-5

February 13, 2010
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pre{ border: 1px solid black ; font-size: small; } I've pushed the version 0.1-5 of highlight to CRAN, it should be available in a couple of days. This version fixes highlighting of code when one wants to display the prompt and the continue pr...

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Rcpp 0.7.6

February 13, 2010
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Rcpp 0.7.6 was released yesterday. This is mostly a maintenance update since the version 0.7.5 had some very minor issues on windows, but we still managed however to include some new things as well. Vectors can now use name based indexing. This i...

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Exact Complexity of Mergesort, and an R Regression Oddity

February 13, 2010
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Exact Complexity of Mergesort, and an R Regression Oddity

It’s nice to be back after a pretty crazy two weeks or so. Let me start off by stating that this blog post is simply me pondering and may not be correct. Feel free to comment on inaccuracies or improvements! In preparation for an exam and my natural tendencies to be masochistic, I am forcing myself to find the exact...

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Introduce your friends to R

February 12, 2010
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http://blog.revolution-computing.com/2010/01/introduce-your-friends-to-r.htmlhttp://www.typepad.com/services/trackback/6a010534b1db25970b0120a7ed6fd2970b

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Introduce your friends to R

February 12, 2010
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http://blog.revolution-computing.com/2010/01/introduce-your-friends-to-r.htmlhttp://www.typepad.com/services/trackback/6a010534b1db25970b0120a7ed6fd2970b

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R – Sorting a data frame by the contents of a column

February 12, 2010
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R – Sorting a data frame by the contents of a column

Learn about data frames, selecting columns, and sorting data frames by given columns

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Making publication-ready tables with xtable

February 12, 2010
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Making publication-ready tables with xtable

When you use R at the command-line, the textual output is limited by the medium: one monospaced font, with no typesetting of any kind. That's great when you're doing exploratory analysis, but what about when you want to include R output in a report or publication? In other words, what if you want to convert this Analysis of Variance...

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Seminar: Statistical Methods for DNA Resequencing Analysis in Disease-Gene Studies

February 12, 2010
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Department of Biostatistics Seminar/Workshop Series: Statistical Methods for DNA Resequencing Analysis in Disease-Gene Studies Wenyi Wang, Ph.D., Faculty Candidate Stanford Genome Technology Center, UC Berkeley Statistics 2:00-3:00pm Monday, Februa...

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One-way ANOVA (cont.)

February 12, 2010
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One-way ANOVA (cont.)

In a previous post we considered using R to fit one-way ANOVA models to data. In this post we consider a few additional ways that we can look at the analysis. In the analysis we made use of the linear model function lm and the analysis could be conducted using the aov function. The code used

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Highlight the R syntax on your (WordPress) blog using the wp-syntax plugin

February 12, 2010
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Highlight the R syntax on your (WordPress) blog using the wp-syntax plugin

Download link for WP-Syntax plugin (with GeSHi version 1.0.8.6) In case you have a self hosted Wordpress blog, and you wish to show your R code in it, how would you do it? The simplest solution would be to just paste the code as plain text, which will look like this: x <- rnorm(100, mean = 2, sd = 3) plot(x, xlab =...

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Self Aware Classes

February 11, 2010
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I thought this up the other night but I'm not sure where I'm going to use it. But I thought that I would through it out there anyway, maybe it will solve all of someone else's problems. I was thinking about classes in R and R is SO NOT object oriented...

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Handling hierarchical data structure in R

February 11, 2010
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Handling hierarchical data structure in R

R has a comprehensive set of tools for the handling of hierarchical data structure. The most widely used package is probably "nlme" and "lme4", contributed by Douglas Bates and colleagues. While "nlme" is older and probably more mature than "...

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Future of Open Source Survey

February 11, 2010
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Our good friends at North Bridge Venture Partners have just opened the 2010 Future of Open Source Survey, an annual look at the state of open source technology and business models, the driving factors in rising adoption of open source products and how the market for open-source software is evolving. Anyone who uses open-source software in the commercial world,...

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Artificial Immune Systems and Financial Applications?

February 11, 2010
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Artificial Immune Systems and Financial Applications?

One of the buzzwords that seems to be common these days is AIS or Artificial Immune Systems. It is a biologically inspired classification type system that essentially tries to replicate some of our own natural immune system algorithms. Our bodies hav...

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Running totals in R

February 11, 2010
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Running totals in R

Learn about the cumsum function in R for running totals

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Using J48 Decision Tree Classifier to Dynamically Allocate Next Day Position in Stocks or Bonds

February 11, 2010
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Using J48 Decision Tree Classifier to Dynamically Allocate Next Day Position in Stocks or Bonds

The prior introduction using a simple model to determine next weeks change based on the S&P 500 index and VIX did not look very promising, although hopefully it served to familiarize yourself with how classification is used in augmenting trading decisi...

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Two New Soils-Related KMZ Demos

February 10, 2010
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Two New Soils-Related KMZ Demos

LCC KMZ Soil Texture KMZ   Forgot to post these KMZ files: 1-km scale, aggregate LCC and soil texture data, derived from SSURGO. These are part of a series of KMZ / raster...

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Video: What is R?

February 10, 2010
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By popular demand, we've made the video of our 30-minute webcast "The R Project" available on YouTube so that everyone can easily watch it. If you (or a friend!) have ever wondered what this R thing is all about, this is the video for you. Here's the first part: Because of YouTube restrictions it's split up into four parts,...

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Loglinear models using R

February 10, 2010
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Loglinear models using R

For those sociologists who want to estimate complicated loglinear models (e.g. Goodman's RC model) using R, the package "VGAM" seems to be a good choice.

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