2327 search results for "time series"

Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel

September 23, 2015
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Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel

You could say that the following post is an answer/comment/addition to Quintuitive, though I would consider it as a small introduction to parallel computing with snowfall using the thoughts of Quintuitive as an example. A quick recap: Say you create a model that is able to forecast 60% of market directions (that is, in 6

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How do you know if your model is going to work?

September 22, 2015
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How do you know if your model is going to work?

Authors: John Mount (more articles) and Nina Zumel (more articles). Our four part article series collected into one piece. Part 1: The problem Part 2: In-training set measures Part 3: Out of sample procedures Part 4: Cross-validation techniques “Essentially, all models are wrong, but some are useful.” George Box Here’s a caricature of a data … Continue reading...

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How do you know if your model is going to work? Part 4: Cross-validation techniques

September 21, 2015
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How do you know if your model is going to work? Part 4: Cross-validation techniques

Authors: John Mount (more articles) and Nina Zumel (more articles). In this article we conclude our four part series on basic model testing. When fitting and selecting models in a data science project, how do you know that your final model is good? And how sure are you that it’s better than the models that … Continue reading...

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Hypothesis Driven Development Part IV: Testing The Barroso/Santa Clara Rule

September 16, 2015
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Hypothesis Driven Development Part IV: Testing The Barroso/Santa Clara Rule

This post will deal with applying the constant-volatility procedure written about by Barroso and Santa Clara in their paper “Momentum … Continue reading →

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Hypothesis Driven Development Part IV: Testing The Barroso/Santa Clara Rule

September 16, 2015
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Hypothesis Driven Development Part IV: Testing The Barroso/Santa Clara Rule

This post will deal with applying the constant-volatility procedure written about by Barroso and Santa Clara in their paper “Momentum … Continue reading →

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cuRve stitching

September 15, 2015
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cuRve stitching

Remember curve stitching from grade school? It makes for a nice tutorial for working with some common R functionality.Here's an example of how to create the appearance of a parabola from plotting a series of straight lines:pkg <- c("ggplot2","reshap...

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How do you know if your model is going to work? Part 2: In-training set measures

September 7, 2015
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How do you know if your model is going to work? Part 2: In-training set measures

Authors: John Mount (more articles) and Nina Zumel (more articles). When fitting and selecting models in a data science project, how do you know that your final model is good? And how sure are you that it’s better than the models that you rejected? In this Part 2 of our four part mini-series “How do … Continue reading...

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Analysing longitudinal data: Multilevel growth models (II)

September 5, 2015
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Analysing longitudinal data: Multilevel growth models (II)

This is the third post in the longitudinal data series. Previously, we introduced what longitudinal data is, how we can convert between long and wide format data-sets, and a basic multilevel model for analysis. Apparently, the basic multilevel model is not quite enough to analyse our imaginary randomised controlled trial (RCT) data-set. This post is

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Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

September 3, 2015
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Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how … Continue reading →

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Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

September 3, 2015
By
Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how … Continue reading →

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