723 search results for "finance"

Statistical construction error

August 20, 2011
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Statistical construction error

Yes, the title is meant to have two readings. The effect The Numbers Guy, among other examples, talks about the UK Office for National Statistics needing to revise its estimate for the construction sector output because of an error. Original: 2.3% growth Corrected: 0.5% growth Here is the Telegraph article cited by The Numbers Guy. … Continue reading...

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display time series data in R

August 19, 2011
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display time series data in R

Thanks to the Revolutions blog, several things learned here:1. R code for heat calendar2. generate SVG from R3. pretty-R toolOK. Let's explain it by plotting the fund WASCX (IVY ASSET STRATEGY FUND CLASS C) from 2009-03-14:# source code of calendarHeat...

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Teaser: Running R as a map/reduce job from Riak

August 17, 2011
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Teaser: Running R as a map/reduce job from Riak

Alliterations aside, here is a preview of something I’ve been tinkering with. My goal is to be able to run …Continue reading »

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ttrTests Experimentation

August 16, 2011
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ttrTests Experimentation

I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6.  ttrTests offers a nice start ...

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lm System on Nikkei with New Chart

August 15, 2011
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lm System on Nikkei with New Chart

I got a great idea from the zoo-overplot demo to make a very helpful visualization of system entry and exit.  Since the lm-based system presented in Unrequited lm Love is newest, I will use this system, but apply to the Nikkei 225 instead of the R...

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Unrequited lm Love

August 14, 2011
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Unrequited lm Love

In System Failure-Maybe it Will Help I presented the initial trials of a linear model system for stocks, and even though they were not a resounding success, I have been strangely determined to discover a working version of this framework.  Maybe t...

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System Failure-Maybe it Will Help

August 11, 2011
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System Failure-Maybe it Will Help

I hope everyone is enjoying the market.  After a crazy week personally and 6% intraday swings, I remember why I abandoned day trading. I often wonder if I should share ideas that do not work as well as I would like.  In this case, I know I ha...

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Upcoming R training classes, live from the experts

August 5, 2011
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Revolution Analytics is hosting several hands-on R training classes over the next few months, with in-person instruction from two leading package authors and experts from the R community. Diethelm Würtz from ETH Zurich will give a two-day master class on Portfolio Selection and Optimization in Practice. Prof Würtz leads the Rmetrics project, and will provide in-depth instruction on using...

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New Rcpp master classes scheduled for New York and San Francisco

August 4, 2011
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Together with Revolution Analytics, I will be offering two more one-day classes on the Rcpp package for seamless integration of R and C++. The format will follow the workshop Romain and I gave during the tutorial day preceding this year's R/Financ...

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Creating Financial Instrument metadata in R

July 27, 2011
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(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same.  When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these instruments becomes critical to tasks...

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