356 search results for "quantmod"

R, where should I start?

March 17, 2013
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This is a dynamic post which I will continue to update whenever I find something new. Hope you will find the following links useful.Online Courses for Learning the R languageTry R from Code Schoole-Books for Learning the R LanguageR for Beginners ...

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Calender Heatmap with Google Analytics Data

March 15, 2013
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Calender Heatmap with Google Analytics Data

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

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Calender Heatmap with Google Analytics Data

March 15, 2013
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Calender Heatmap with Google Analytics Data

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

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Cluster Risk Parity back-test

March 4, 2013
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Cluster Risk Parity back-test

In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r at github to automate these steps.

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Measuring the Intensity of Historical Crises with VaR

March 3, 2013
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Measuring the Intensity of Historical Crises with VaR

Adam Duncan, December 2012Also avilable on R-bloggers.com Prelude These posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written in a “walkthrough” style. All of the source...

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The Financial Crisis on Tape Part I

February 23, 2013
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The Financial Crisis on Tape Part I

Hello and welcome to Joe's Data Diner's first ever post!Today, I will touch on both R and Finance, but I'll try and make it accesible for those with an interest in either and not just Quants like myself!Almost everyone is now aware that asset correlati...

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Change fonts in ggplot2, and create xkcd style graphs

February 17, 2013
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Change fonts in ggplot2, and create xkcd style graphs

Installing and changing fonts in your plots comes now easy with the extrafonts-package. There is a excellent tutorial on the extrafonts github site, still I will shortly demonstrate how it worked for me. First, install the package and load it. You can now install the desired system fonts (at the moment only TrueType fonts): The

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Cluster Portfolio Allocation

February 11, 2013
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Cluster Portfolio Allocation

Today, I want to continue with clustering theme and show how the portfolio weights are determined in the Cluster Portfolio Allocation method. One example of the Cluster Portfolio Allocation method is Cluster Risk Parity (Varadi, Kapler, 2012). The Cluster Portfolio Allocation method has 3 steps: Create Clusters Allocate funds within each Cluster Allocate funds across

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An Example of Seasonality Analysis

February 3, 2013
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An Example of Seasonality Analysis

Today, I want to demonstrate how easy it is to create a seasonality analysis study and produce a sample summary report. As an example study, I will use S&P Annual Performance After a Big January post by Avondale Asset Management. The first step is to load historical prices and find Big Januaries. All the hard

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Tracking Number of Historical Clusters

January 26, 2013
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Tracking Number of Historical Clusters

In the prior post, Optimal number of clusters, we looked at methods of selecting number of clusters. Today, I want to continue with clustering theme and show historical Number of Clusters time series using these methods. In particular, I will look at the following methods of selecting optimal number of clusters: Minimum number of clusters

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