1695 search results for "time series"

Upcoming events

November 20, 2012
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Upcoming events

New Events  Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading...

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Secret Santa – again

November 18, 2012
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Based on comments by cellocgw I decided to look at last week's Secret Santa again. This time, the moment a person, whoever that is, draws his/her own name, the drawing starts again at the first person.IntroductionA group of n persons draws sequentially...

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Using R — Packaging a C library in 15 minutes

November 16, 2012
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This entry is part 14 of 12 in the series Using RYes, this post condenses 50+ hours of learning into a 15 minute tutorial.  Read ‘em and weep.  (That is, you read while I weep.) OK.  For the last week …   read more ...

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Parallelized Back Testing

November 16, 2012
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As mentioned earlier, currently I am playing with trading strategies based on Support Vector Machines. At a high level, the approach is quite similar to what I have implemented for my ARMA+GARCH strategy. Briefly, the simulation goes as follows: we step through the series one period (day, week, etc) at a time. For each period,

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Network vizualization and meaning shifting due to algorithm settings

November 15, 2012
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Network vizualization and meaning shifting due to algorithm settings

Data visualizations are useful for exploratory work and as an aid in communicating findings. Data visualizations also seem to be in demand these days as a kind of eye candy for capturing attention. But when we look at one engaging enough to hold our attention, we want to know what it means. In other words,

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Bottom-up creation of data-driven capabilities: automate your work

November 15, 2012
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My previous post on how to transform an organization into a more data-driven version of itself made a pretty big assumption that often doesn’t hold true. I assumed that people in the organization wanted their company or agency to become more data-driven. I think almost everyone says they want that if asked. I even think

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My first R GUI

November 13, 2012
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My first R GUI

This post is a huge jump from the last two - this is not for beginners!! But if you've ever considered building a GUI in R, looked at some of the online documentation, gotten scared, and decided not to, read this!!! Ok here goes. Dorian Auto GUI Setup: I built this for a school project. The basic problem setup is from...

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The R-Podcast Episode 11: Reproducible Analysis Part 1 (Introduction)

November 13, 2012
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Season 2 of the R-Podcast is up and running! This episode begins a multi-part series on reproducible analysis using R. In this episode I discuss the usage of Sweave and LaTeX for producing reproducible reports, an introduction to the capabilities of the knitr package (more episodes will be coming dedicated to this package), and my

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Using R — Callling C code with Rcpp

November 12, 2012
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This entry is part 12 of 12 in the series Using RIn two previous posts we described how R can call C code with .C() and the more complex yet more robust option of calling C code with .Call().  Here …   read more ...

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How I cracked Troyis (the online flash game)

November 11, 2012
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How I cracked Troyis (the online flash game)

Troyis™ is an addictive online flash game where you move a chess knight through increasingly difficult puzzles. After hours and hours of playing, sometimes late into the night, I decided I'd waste even more of my time and write a little program tha...

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