## Does the S&P 500 exhibit seasonality through the year?

October 20, 2011
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Are there times of the year when returns are better or worse? Abnormal Returns prompted this question with “SAD and the Halloween indicator” in which it is claimed that the US market tends to outperform from about Halloween until April. Data The data consisted of 15,548 daily returns of the S&P 500 starting in 1950.  … Continue reading...

## Confidence interval diagram in R

October 19, 2011
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This code shows how to easily plot a beautiful confidence interval diagram in R. First, let’s input the raw data. We’ll be making two confidence intervals for two samples of 10. In case you curious, the data represents samples from … Continue reading →

## R. I. P. EMA

October 19, 2011
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That’s right, I am moving away from exponential moving averages. Originally, I decided to use them somewhat arbitrary, probably because they tend to swing faster. Last night, after spending two and half hours debugging an issue which yet again turned out to be a particular property of these averages, I made my mind. I am

## Minimum Investment and Number of Assets Portfolio Cardinality Constraints

October 19, 2011
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The Minimum Investment and Number of Assets Portfolio Cardinality Constraints are practical constraints that are not easily incorporated in the standard mean-variance optimization framework. To help us impose these real life constraints, I will introduce extra binary variables and will use mixed binary linear and quadratic programming solvers. Let’s continue with our discussion from Introduction

## the Wang-Landau algorithm reaches the flat histogram in finite time

October 19, 2011
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Pierre Jacob and Robin Ryder (from Paris-Dauphine, CREST, and Statisfaction) have just arXived (and submitted to the Annals of Applied Probability) a neat result on the Wang-Landau algorithm. (This algorithm, which modifies the target in a sort of reweighted partioned sampling to achieve faster convergence, has always been perplexing to me.)  They show that some

## Support Vector Machines in R (a course by Lutz Hamel)

October 19, 2011
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Support vector machines (SVM’s) are the “big iron” of the data mining world, especially suited for extreme data intensive tasks like image classification, biosequence processing, handwriting recognition, etc. Dr. Lutz Hamel, author of “Knowledge Discovery with Support Vector Machines”, presents his online course “Introduction to Support Vector Machines In R” November 18 – December 16. “Support Vector Machines in...

## Web-friendly visualizations in R

October 19, 2011
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Aleks points me to this new tool from Wojciech Gryc. Right now I save my graphs as pdfs or pngs and then upload them to put them on the web. I expect I’ll still be doing this for awhile—I like having full control of what my graphs look like—but Gryc’s default plots might be useful The post Web-friendly...

## On R, bloggers, politics, sex, alcohol and rock & roll

October 19, 2011
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Yesterday morning at 7 am I was outside walking the dog before getting a taxi to go to the airport to catch a plane to travel from Christchurch to Blenheim (now I can breath after reading without a pause). It … Continue reading →

## The R-Files: Paul Teetor

October 19, 2011
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"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Paul Teetor Profession: Quantitative developer (freelance) Nationality: American Years Using R: 7 Known for: Author of R Cookbook (O’Reilly Media, 2011) An active member of the R community, Paul Teetor is a quantitative developer and statistical consultant based in the...

## Studying market reactions after consecutive gains (losses)

October 19, 2011
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Arthur Charpentier used R to denote a broken record of the CAC 40 when it went 11 consecutive days with negative returns. Question: What happens to the market after runs of positive or negative returns? Will the market tank or soar after n days of gains/losses? First, a little dissection of historical data (S&P 500

## How does Matt kemp become Andre Dawson?

October 18, 2011
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While reading this article over at Fangraphs I was inspired to ask myself “what would Matt Kemp have to do between now and then end of his career to be seriously considered for the Hall of Fame?”.  This question comes … Continue reading →

October 18, 2011
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Google's Fusion Tables look impressive, for those who want to try geo-visualizations of their data. You don't need much programming experience to be able to use it.For those who want to try it out, here's a nice intro that Kathyrn Hurley presented at the recent SVCC (Silicon Valley Code Camp). When combined with ShpEscape (note spelling) it becomes...

## Generating restricted permutations with permute

October 18, 2011
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In a previous post I introduced the permute package and the function shuffle(). In that post I got as far as replicating R’s base function sample(). Here I’ll briefly outline how shuffle() can be used to generate restricted permutations. shuffle() … Continue reading →

## 130/30 Porfolio Construction

October 18, 2011
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The 130/30 funds were getting lots of attention a few years ago. The 130/30 fund is a long/short portfolio that for each \$100 dollars invested allocates \$130 dollars to longs and \$30 dollars to shorts. From portfolio construction perspective this simple idea is no so simple to implement. Let’s continue with our discussion from Introduction

## Large applications of linear mixed models

October 18, 2011
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In a previous post I summarily described our options for (generalized to varying degrees) linear mixed models from a frequentist point of view: nlme, lme4 and ASReml-R†, followed by a quick example for a split-plot experiment. But who is really … Continue reading →

## ACM Data Mining Camp 2011: Report

October 18, 2011
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(By Joseph Rickert.) In San Jose topics like big data, map reduce, predictive models, mobile analytics and crowdsourcing draw a crowd even on a Saturday. So it turned out that the ACM data Mining Camp and "un-conference" was a very "happening" way to spend a Saturday. Over 500 people attended the event at the Ebay "Town Hall" on North...

## Generating restricted permutations with permute

October 18, 2011
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In a previous post I introduced the permute package and the function shuffle(). In that post I got as far as replicating R’s base function sample(). Here I’ll briefly outline how shuffle() can be used to generate restricted permutations.

## Short selling, volatility and bubbles

October 17, 2011
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Yesterday, I wrote a post (in French) about short-selling in financial market since some journalists claimed that it was well-known that short -selling does increase volatility on financial market. Not only in French speaking journals actually, sin...

## Get the Basics right – Suggestion for R Beginners

October 17, 2011
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I am always looking for suggestions on how to get better at R, esp. for beginners. So when I see someone who's gotten adept at it, I ask them how they got there.This weekend, at the Bay Area ACM Data Mining Camp, one person gave me what seemed like a g...

October 17, 2011
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The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full October edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Applications of R Contest: Deadline October 31. Revolution Analytics is offering \$20,000 in prizes...

## R Tools for FEC Campaign Finance Disclosure Data

October 17, 2011
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For my first contribution to the blog, I wanted to make some kind of enlightening visualization of campaign finance disclosure data from the Federal Election Commission’s website. It looks like they’re working on some new, easy-to-use data dumps here, but … Continue reading →

## Lattice when modeling, ggplot when publishing

October 17, 2011
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When working in research projects I tend to fit several, sometimes quite a few, alternative models. This model fitting is informed by theoretical considerations (e.g. quantitative genetics, experimental design we used, our understanding of the process under study, etc.) but … Continue reading →

## Software for Research, Part 3: [R], RStudio and ggplot2 for Statistics

October 17, 2011
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is an excellent open-source statistics language. It's cross-platform and free and I think it will eventually displace proprietary stat's packages due to its rapid development, speed and ease of use. So there's no time like the present to get used...

## Colors in R

October 17, 2011
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One of my favorite R packages that I use all the time is the RColorBrewer package. The package has been around for a while now and is written/maintained by Erich Neuwirth. The guts of the package are based on Cynthia Brewer’s very cool work on the us...

## Example 9.10: more regression trees and recursive partitioning with "partykit"

October 17, 2011
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We discuss recursive partitioning, a technique for classification and regression using a decision tree in section 6.7.3 of the book. Support for these methods is available within the rpart package. Torsten Hothorn and Achim Zeileis have extended the ...

## Backtesting a Simple Stock Trading Strategy: Part 3

October 17, 2011
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Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In a previous post, I examined a simple stock trading strategy: Find the high point over the la...

## Tikz Nodes

October 17, 2011
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Nodes are used in tikz to place content in a picture as part of a LaTeX document. Fast Tube by Casper When creating a tikz picture the origin is assumed to be at (0,0) and objects are placed with positioning relative to the origin on the picture. If we wanted to add a grid with

## Installing rgdal on a Mac

October 16, 2011
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So, installing rgdal, which is an important R package for spatial data analysis can be a bit of a pain on the mac. Here are two ways to make it happen.   The Easy Way In R run: install.packages('rgdal',repos="http://www.stats.ox.ac.uk/pub/RWin") The Hard Way Download and install GDAL 1.8 Complete and  PROJ framework v4.7.0-2   from: http://www.kyngchaos.com/software/frameworks%29 Download the latest version of rgdal from CRAN.

## Running SQL Queries in R With the SQLDF Package

October 16, 2011
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The sqldf package can be used to run sql queries on R data frames. The user simply needs to specify a sql statement enclosed by quotation marks within the sqldf() function. In the follow R code, you see various ways of using the sqldf package to run sql queries on R data frames. The sql