686 search results for "finance"

RcppBDT 0.1.0

January 18, 2011
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The family of Rcpp packages just grew by one: the first 0.1.0 release of RcppBDT is now on CRAN.RcppBDT stands for Rcpp Boost Date_Time. It employs what we call Rcpp modules: a mechanism which provides easier ways to expose C++ functions and classe...

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In case you missed it: December Roundup

January 17, 2011
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In case you missed them, here are some articles from December of particular interest to R users. A Facebook employee created a beautiful visualization of social connections around the world, which made a lot of news on the Web. The creator, Paul Butler, explained how he did it using R. With sponsorship from Revolution Analytics, the R/Finance conference in...

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Plotting overbought / oversold regions in R

January 16, 2011
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Plotting overbought / oversold regions in R

The good folks at Bespoke Investment Group frequently show charts of so-called overbought or oversold levels; see e.g. here for the most recent global markets snapshot.Classifying markets as overbought or oversold is a popular heuristic. It starts...

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The number 1 novice quant mistake

January 12, 2011
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The number 1 novice quant mistake

It is ever so easy to make blunders when doing quantitative finance.  Very popular with novices is to analyze prices rather than returns. Regression on the prices When you want returns, you should understand log returns versus simple returns. Here we will be randomly generating our “returns” (with R) and we will act as if … Continue reading...

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Some market predictions

January 6, 2011
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Some market predictions

We look at a few forecasts for the year 2011 that we’ve run across, and compare them with the prediction distributions presented in Revised market prediction distributions. FTSE 100 There is a “range forecast” on an Interactive Investor page of 5350 to 6565.  It isn’t clear (to me at least) what this means, but I … Continue reading...

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Principal component analysis to yield curve change

December 19, 2010
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Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

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Principal component analysis to yield curve change

December 19, 2010
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Principal component analysis to yield curve change

In quantitive finance,it is often said that yield curve change is explained by three factor,"parallel shift", "twist" and "butterfly".Because I found that we can get historical yield curve data from FRB's web site, I check whether these proverbial facts are correct or not.Yield curve data can be downloaded to click "Go to download" and "Download File" button. Default data...

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White Bumblebee Implemented in R

December 18, 2010
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White Bumblebee Implemented in R

White Bumblebee is a trade system based on a simple moving average crossover, but with a special twist. Imagine your thermostat triggering your furnace to shut off or turn on every time a temperature crossed a threshold. If the thermostat didn't have a...

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Issues of R Client Library For The Google Prediction API

December 16, 2010
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The Google Prediction API is a black-box system for building predictive models, it provides pattern-matching and machine learning capabilities. So Google algorithms automatically creates a model from the training models given a set of training data and makes prediction under this model given a set of explanatory variables, read http://code.google.com/apis/predict/docs/getting-started.html for an overview. I am eager...

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Why Use R?

December 14, 2010
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I use R very frequently and take for granted much that it has to offer.  I forget how R is different from similar tools, so I have trouble communicating the benefits of using R.  The goal of this post is to highlight R's main strengths, but first... my story.How I got started with RI was introduced...

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