Many of my software engineer friends ask me about learning data science. There are many articles on this subject from renowned data scientists (Dataspora, Gigaom, Quora, Hilary Mason). This post captures my journey (a software engin...

Coursera is offering free courses about R among other interesting subjects. The first one on the application of R in financial econometrics is happening this week (but you can still enroll). There are two more courses starting in January 2013 are more about using R to analyse the data. The differences between the two are

Mike Bostock has revolutionized visualization with his d3 and his seemingly infinite examples. In another adaptation of his amazing work, I will adapt one of my favorite examples to supplement the interactive scatterplot with data supplied by R t...

The first conference on R in Insurance will be held on Monday 15 July 2013 at Cass Business School in London, UK. The intended audience of the conference includes both academics and practitioners who are active or interested in the applications of R in insurance.This one-day conference will focus on applications in insurance...

Historical Value at Risk (VaR) is very popular because it is easy and intuitive: use the empirical distribution of some specific number of past returns for the portfolio. Previously “The estimation of Value at Risk and Expected Shortfall” included an R function to estimate historical VaR. Generating portfolios A useful tool to explore risk models … Continue reading...

experimental. think of the american community survey (acs) as the united states' census for off-years - the ones that don't end in zero. every year, one percent of all americans respond, making it the largest complex sample administered by ...

How to capture return variability when testing strategies with long-short deciles. Traditional practice Question: Does variable X have predictive power for our universe of assets? A common scheme of quants to answer the question is to form a series of portfolios over time. The portfolio at each time point: is long the equal weighting of … Continue reading...

Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of $10 million. Initially there are 50 names in the portfolio. It also ends the year with 50 names but has up to 53 names during the … Continue reading...

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