43 search results for "ecdf"

Universal portfolio, part 10

August 10, 2012
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Universal portfolio, part 10

Part 9 compared the wealth of Universal against other portfolio selection algorithms by using the experimental cumulative distribution function of the relative wealth.  This leads to a very compact representation, but it completely hides the ...

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Universal portfolio, part 9

July 25, 2012
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Universal portfolio, part 9

Part 8 was discussing the distribution of the absolute wealth of the Universal Portfolio across all possible tuples of length 2, 3 and 4.However, comparing the absolute wealth against some reference, especially against simple portfolio selection algor...

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Universal portfolio, part 8

July 18, 2012
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Universal portfolio, part 8

We extend the analysis of part 7 by calculating the final wealth for all tuples of 3 and 4 stocks, this is a simple extension but it also shows the most important problem of the Universal portfolio algorithm, its exponential complexity in the number of...

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Universal portfolio, part 7

July 7, 2012
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Universal portfolio, part 7

After reproducing all original figures and tables from Universal Portfolios, R coupled with modern processors allows to perform some more analysis.First we calculate the final wealth of the universal portfolio for all possible pairs of stocks, and...

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Download and parse EDHEC hedge fund indexes

June 4, 2012
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Download and parse EDHEC hedge fund indexes

In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be

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RDieHarder 0.1.2

April 13, 2012
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RDieHarder 0.1.2

RDieHarder is an R package providing access to the DieHarder battery of tests for random number generators developed by Robert G. Brown and others. DieHarder had been updated to version 3.1.1 a while back, and I had been a little behind with updating...

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Were markets exceptionally volatile in 2011?

January 2, 2012
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Were markets exceptionally volatile in 2011?

2011 was a volatile year, no doubt about that, but was it exceptionally so from a historic point of view? To quantify the volatility, I used the Dow Jones Industrial average, which goes back to 1928 on Yahoo Finance: A volatile year no doubt, but once again confirming the fact that, in markets behaviour at

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Plotting gain chart

October 29, 2011
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Plotting gain chart

Gain chart is a popular method to visually inspect model performance in binary prediction. It presents the percentage of captured positive responses as a function of selected percentage of a sample. It is easy to obtain it using ROCR package plott...

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R 2.13.2 released

September 30, 2011
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The R core team announced today that R 2.13.2 is now available: The byte pixies have rolled up R-2.13.2.tar.gz at 9:00 this morning. This is intended to be the final release of the 2.13 series, for the benefit of those apprehensive of putting 2.14.x into production use. This update fixes a number of minor bugs (for example, pch="." will...

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Bootstrapping the Truncated Normal Distribution

March 2, 2011
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Bootstrapping the Truncated Normal Distribution

Here’s a post generated from my own ignorance of statistics (as opposed to just being marred by it)! In Labor Economics we walked through something called the truncated normal distribution. Truncated distributions come up a lot in the sciences because … Continue reading →

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