1646 search results for "Time series"

Analytic applications are built by data scientists

February 1, 2012
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Ventana Research analyst David Menninger was on the judging panel for the Applications of R in Business contest. In a post on the Ventana research blog, he offers his perspectives on the contest, noting that R, as a statistical package, includes many algorithms for predictive analytics, including regression, clustering, classification, text mining and other techniques. The contest submissions supported...

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Explaining India’s miserable Test cricket performance in 2011/2012

January 30, 2012
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Explaining India’s miserable Test cricket performance in 2011/2012

Today when I reminded a friend not to lose hope in Indian cricket (after recent whitewash in England and Australia), another friend commented, प्रसून जी , यह भारतीय क्रिकेट है ..यहाँ पर हर विक्टरी दुसरे दिन पुरानी हो जाती है ...You have to perform at your best ... After all they are getting unexpected money. They should deliver the...

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Multiple Factor Model – Fundamental Data

January 28, 2012
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Multiple Factor Model – Fundamental Data

The Multiple Factor Model can be used to decompose returns and calculate risk. Following are some examples of the Multiple Factor Models: The expected returns factor model: Commonality In The Determinants Of Expected Stock Returns by R. Haugen, N. Baker (1996) The expected returns factor model: CSFB Quantitative Research, Alpha Factor Framework on page 11,

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Penny pinching yields pennies

January 26, 2012
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Penny pinching yields pennies

A Greek Professor of Economics has written up a thought-provoking series of articles on complexity fetishism. As part of his …Continue reading »

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Hottest 100 for 2011

January 26, 2012
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Hottest 100 for 2011

Another year, another Australia Day. Another Australia Day, another Triple J Hottest 100. And that, of course, means an excellent excuse to  set R to work on the chart data. For those outside Australia, the Hottest 100 is a chart of the most popular songs of the previous year, as voted by the listeners of

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The distribution of financial returns made simple

January 23, 2012
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The distribution of financial returns made simple

Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily log returns in the year.  … Continue reading...

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Gold price and fear

January 18, 2012
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Gold price and fear

Via @theEconomist, I understood that there might be connections between the price of Gold (which is said to be extremely high nowadays) and the VIX SP500 index (the option volatility index, i.e. the so-called "fear index", as discussed - in French-...

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A slice of S&P 500 skewness history

January 16, 2012
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A slice of S&P 500 skewness history

How symmetric are the returns of the S&P 500? How does the skewness change over time? Previously We looked at the predictability of kurtosis and skewness in S&P constituents.  We didn’t see any predictability of skewness among the constituents.  Here we look at skewness from a different angle. The data Daily log returns of the … Continue reading...

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Moving window filters and the pracma package

Moving window filters and the pracma package

In my last post, I discussed the Hampel filter, a useful moving window nonlinear data cleaning filter that is available in the R package pracma.  In this post, I briefly discuss this moving window filter in a little more detail, focusing on two important practical points: the choice of the filter’s local outlier detection threshold, and the question of...

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Functional ANOVA using INLA

January 13, 2012
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Functional ANOVA using INLA

Ramsay and Silverman’s Functional Data Analysis is a tremendously useful book that deserves to be more widely known. It’s full of ideas of neat things one can do when part of a dataset can be viewed as a set of

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