1543 search results for "time series"

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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Get those plots

August 14, 2011
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Get those plots

Type in the following to get a Q-Q plot and a histogram on top of each otherpar(mfrow=c(2,1))> hist(dlGDP,prob=T,12)> lines(density(dlGDP))> qqnorm(dlGDP)> qqline(dlGDP)the top graph says that the errors are pretty nicely distributed around...

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Fitting mixture distributions with the R package mixtools

Fitting mixture distributions with the R package mixtools

My last two posts have been about mixture models, with examples to illustrate what they are and how they can be useful.  Further discussion and more examples can be found in Chapter 10 of Exploring Data in Engineering, the Sciences, and Medicine.  One important topic I haven’t covered is how to fit mixture models to datasets like the Old Faithful geyser...

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Using Emacs to work with R

August 2, 2011
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Using Emacs to work with R

A simple yet efficient way to work with R consists in writing R code with your favorite text editor and sending it to the R console. This allows to build efficient R code in an incremental fashion. A good editor might even provide syntax highlighting, parenthesis matching, and a way to send a selected portion of code to R

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Dividend Quartiles with Kenneth French Data

August 1, 2011
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Dividend Quartiles with Kenneth French Data

Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks.  Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we c...

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Forking Myself

July 29, 2011
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Forking Myself

I’ve spent some time forking myself. Over the past few days when I could steal away an hour here  or there I decided to make a big change to the package. But it’s a good change. First some book-keeping. The Romantest.R file has a minor bug in it. Not really a bug, I just pulled

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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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The Luck and Skill of Scrabble

July 26, 2011
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The Luck and Skill of Scrabble

Scrabble is a game that involves both skill and luck. There's skill in knowing the words you can play and — especially — the most advantageous ways to play them. But there's also luck in the tiles you draw randomly from the bag: get saddled with a rack containing four I's and there's usually not much you can do....

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Le Monde puzzle [#28]

July 22, 2011
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Le Monde puzzle [#28]

The puzzle of last weekend in Le Monde was about finding the absolute rank of x9 when given the relative ranks of x1,….,x8 and the possibility to ask for relative ranks of three numbers at a time. In R terms, this means being able to use or yet being able to sort the first 8

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Migrating from SPSS/Excel to R, Part 2: Working with Packages

July 17, 2011
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Migrating from SPSS/Excel to R, Part 2: Working with Packages

In this post, I cover an important aspect of using R that users of SPSS/Excel won’t be familiar with: working …Continue reading »

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