With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts. I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...

Winsorization replaces extreme data values with less extreme values. But why Extreme values sometimes have a big effect on statistical operations. That effect is not necessarily a good effect. One approach to the problem is to change the statistical operation — this is the field of robust statistics. An alternative solution is to just change … Continue reading...

If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading...

In a previous post I introduced the Smith for Congress data set. The data is 49k contributions made by individuals to a congressional campaign for the 2006-2010 electoral cycles. Smith for Congress is not the name of the actual campaign. Individual contributions are not required to be disclosed by a campaign unless the individual donates

In the 2011 edition of the Sybase Capital Markets Guide, Revolution Analytics CTO David Champagne talks about the need for up-to-date analytics in Finance, and how you can integrate Revolution R with quality real-time data sources. Here's an excerpt: R represents a radically different approach to the challenges posed by analyzing increasingly large and complex data sets. Because it...

In case you missed them, here are some articles from May of particular interest to R users. A review of "R Cookbook", a new how-to book for R programmers. A detailed example of using the RevoScaleR package to analyze a large airline data set. A new guide for R beginners, "How to Learn R", provides links to R resources,...