## Maximizing Omega Ratio

November 3, 2011
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$Maximizing Omega Ratio$

The Omega Ratio was introduced by Keating and Shadwick in 2002. It measures the ratio of average portfolio wins over average portfolio losses for a given target return L. Let x.i, i= 1,…,n be weights of instruments in the portfolio. We suppose that j= 1,…,T scenarios of returns with equal probabilities are available. I will

## Some Simple but Propably Useful Regex Examples with R-Package stringr…

November 3, 2011
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I found that examples for the use of regex in R are rather rare. Thus, I will provide some examples from my own learning materials - mostly stolen from the help pages, with small but maybe illustrative adaptions.ps: I will extent this list of examples...

## First thoughts on R

November 2, 2011
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Having worked just a little with R, I have some first impressions to share.  I'll give you some links to resources I found helpful with writing the previous project. First, the documentation is not very good.  I struggled on previous attempts to figure things out.  I still find it crap shoot when I Google, looking for an answer....

## Code Optimization: One R Problem, Ten Solutions – Now Eleven!

November 2, 2011
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Earlier this year I came across a rather interesting page about optimisation in R from rwiki. The goal was to find the most efficient code to produce strings which follow the pattern below given a single integer input n: From this we can see that the general pattern for n is: It is rather heart

November 2, 2011
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If you are creating maps then for goodness sake Use sensible colours!  I was helping some undergraduates with some work the other day, and they decided to use the following colour scheme for representing river depth: Deep water: Red Medium-depth water: Bright green Shallow water: Pink Why did they do this? Well, either they were

## The next generation of parallel R

November 2, 2011
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In view of open-source parallel computing with R this week presents a big step to the future. R 2.14.0 was released at October 31th, 2011. Now, R base ships with a parallel computing package called “parallel”.  library(parallel) It combines advantages of the packages multicore and snow and it contains support for multiple RNG streams. The

## Strange behavior of correlation estimation

November 2, 2011
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The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the cova...

## "Applications of R" contest submissions online

November 2, 2011
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Thanks to everyone for participating in the "Applications of R in Business" contest. R users submitted more than 25 entries, describing how R is used in industries including life sciences, finance, manufacturing, sentiment analysis, and even sports. Some entries are just outlines for now (competitors have until November 30 to finalize their entries), but already there are some quite...

## Using Sweave with Beamer: A note on fonts

November 2, 2011
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Recently, I've been preparing a poster using the LaTeX packages Beamer and beamerposter. The poster discusses a bunch of R stuff that I've been doing lately, so I successfully used Sweave to incorporate R code into the poster. However, I had some troub...

## Cycles in finite populations: A reproducible seminar in three acts

November 1, 2011
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For this years Halloween I presented the mathematical biology seminar at the Centre for Mathematical Biology. Here is the title and the abstract… Cycles in finite populations: a reproducible seminar in three acts Many natural populations exhibit cyclic fluctuations. Explaining the underlying … Continue reading →

## Generating PPC Keywords in R

November 1, 2011
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Paid search marketing refers to the process of driving traffic to a website by purchasing ads on search engines. Advertisers bid on certain keywords that users might search for, and that determines when and where their ads appear. For example, an individual who owns an auto dealership would want to bid on keywords relating to automobiles

## Selecting statistics for ABC model choice [R code]

November 1, 2011
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As supplementary material to the ABC paper we just arXived, here is the R code I used to produce the Bayes factor comparisons between summary statistics in the normal versus Laplace example. (Warning: running the R code takes a while!) Filed under: R, Statistics, University life Tagged: ABC, Bayesian model choice, Laplace distribution, R, summary

## How much does "Beta" change depending on time?

November 1, 2011
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You may often use "Beta" to measure the market exposure of your portfolio because it's easy to calculate.Since I have been wondering how much "Beta" change depending on time, more precisely writing, data-set and the period of return time series, I...

## R 2.14 for Windows: now with SVG support

November 1, 2011
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One additional new feature in the latest release of R: the standard binaries of R 2.14 from the R Project now include Cairo support. For Windows users, this means that you can now create SVG graphics in R -- the best format for displaying R graphics on the web -- without having to compile R yourself. Note that if...

## Evolving Domestic Frontier

November 1, 2011
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When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...

## Use case: combining taxize and rgbif

November 1, 2011
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Sure thing….this is just the sort of thing for which rOpenSci is being built. A colleague of mine recently saw our packages in development and thought, “Hey, that could totally make my life easier.”   What was made easier you ask?   This was his situation: He had a list of ca. 1200 species of

## Computing on the Language Followup

November 1, 2011
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My article on computing on the language was unexpectedly popular and so I wanted to quickly follow up on my own solution. Many of you got the answer, and in fact many got solutions that were quite a bit shorter than mine. Here’s how I did it: makeList

## Teaching with R: the tools

November 1, 2011
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I bought an Android phone, nothing fancy just my first foray in the smartphone world, which is a big change coming from the dumb phone world(*). Everything is different and I am back at being a newbie; this is what … Continue reading →

## Code Optimization: One R Problem, Ten Solutions – Now Eleven!

November 1, 2011
By

Earlier this year I came across a rather interesting page about optimisation in R from rwiki. The goal was to find the most efficient code to produce strings which follow the pattern below given a single integer input n: From this we can see that the general pattern for n is: It is rather heart

## Bootstrapping a Single Statistic (k=1) The following example…

November 1, 2011
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Bootstrapping a Single Statistic (k=1) The following example generates the bootstrapped 95% confidence interval for R-squared in the linear regression of miles per gallon (mpg) on car weight (wt) and displacement (disp). The data source is mtcars. The...

## Web Scraping Google Scholar & Show Result as Word Cloud Using R

November 1, 2011
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OUTDATED! Please see the update HERE!...When reading Scott Chemberlain's last post about web-scraping I felt it was time to pick up and complete an idea that I was brooding over for some time now:When a scientist aims out for a new project the firs...

## Minimizing Downside Risk

November 1, 2011
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$Minimizing Downside Risk$

In the Maximum Loss and Mean-Absolute Deviation risk measures, and Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) posts I started the discussion about alternative risk measures we can use to construct efficient frontier. Another alternative risk measure I want to discuss is Downside Risk. In the traditional mean-variance optimization both returns above and

## How Might Data Journalists Show Their Working? Sweave

November 1, 2011
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If part of the role of data journalism is to make transparent the justification behind claims that are, or aren’t, backed up by data, there’s good reason to suppose that the journalists should be able to back up their own data-based claims with evidence about how they made use of the data. Posting links to

## Line Plots (Econometric in R) Input: ##…

November 1, 2011
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Line Plots (Econometric in R) Input: ## ---------------------------- ## ## Plotting Points *and* Lines ## ## ---------------------------- ## pow = c(0.95, 0.6, 0.3, 0.15, 0.1, 0.05, 0.1, 0.15, 0.3, 0.6, 0.95) pow2 = c(0.99, 0.75, 0.4, 0.2, 0.15, 0.0...

## Etiquette on the mailing list, to RTFM or not to RTFM

November 1, 2011
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Sometimes people ask very basic questions on the R-help mailing list, which could have easily been answered by reading some R manual or doing a quick Google search. Responses on the mailing range from people answering the question to “Please… See more ›

## Project Euler-Problem 38

November 1, 2011
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Take the number 192 and multiply it by each of 1, 2, and 3: 192 × 1 = 192 Read More: 450 Words Totally

## Halloween 2011 count

October 31, 2011
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We don’t get many kids seeking candy at our house. I’m not sure if there just aren’t many kids in the neighborhood, or if it’s our location (next to the pond, with a big gap before the next house). I decided to keep track. As usual, we bought a huge bag of candy, and we

## Japan Quake Map

October 31, 2011
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Japan Quake Map with R, ggplot2, and FFmpeg   1 Introduction As a follow-up to ‘Analysis of Japanes

## Covered Call ETF Performance

October 31, 2011
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Covered call ETFs have become quite popular lately. Living in Canada, I have been holding a couple Canadian members of this family for the last few months. When I purchased them, I liked the benefits and since I wasn’t expecting any bull markets on the horizon, I bought some. These were new products back them,