Well this certainly took a while but the latest installment of my functional dispatching library for R is finally released …Continue reading »

Ventana Research analyst David Menninger was on the judging panel for the Applications of R in Business contest. In a post on the Ventana research blog, he offers his perspectives on the contest, noting that R, as a statistical package, includes many algorithms for predictive analytics, including regression, clustering, classification, text mining and other techniques. The contest submissions supported...

Today when I reminded a friend not to lose hope in Indian cricket (after recent whitewash in England and Australia), another friend commented, प्रसून जी , यह भारतीय क्रिकेट है ..यहाँ पर हर विक्टरी दुसरे दिन पुरानी हो जाती है ...You have to perform at your best ... After all they are getting unexpected money. They should deliver the...

The Multiple Factor Model can be used to decompose returns and calculate risk. Following are some examples of the Multiple Factor Models: The expected returns factor model: Commonality In The Determinants Of Expected Stock Returns by R. Haugen, N. Baker (1996) The expected returns factor model: CSFB Quantitative Research, Alpha Factor Framework on page 11,

Another year, another Australia Day. Another Australia Day, another Triple J Hottest 100. And that, of course, means an excellent excuse to set R to work on the chart data. For those outside Australia, the Hottest 100 is a chart of the most popular songs of the previous year, as voted by the listeners of

How symmetric are the returns of the S&P 500? How does the skewness change over time? Previously We looked at the predictability of kurtosis and skewness in S&P constituents. We didn’t see any predictability of skewness among the constituents. Here we look at skewness from a different angle. The data Daily log returns of the … Continue reading...

In my last post, I discussed the Hampel filter, a useful moving window nonlinear data cleaning filter that is available in the R package pracma. In this post, I briefly discuss this moving window filter in a little more detail, focusing on two important practical points: the choice of the filter’s local outlier detection threshold, and the question of...