1536 search results for "time series"

Statistical podcast: Random and Pseudorandom

January 14, 2011
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Statistical podcast: Random and Pseudorandom

This morning when I downloaded the latest version of In our time, I was pleased to see that this weeks topic was “Random and Peudorandom.” If you’re not familiar with “In our time”, then I can I definitely recommend the series. Each week three academics and Melvyn Bragg discuss a particular topic from history, science,

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The number 1 novice quant mistake

January 12, 2011
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The number 1 novice quant mistake

It is ever so easy to make blunders when doing quantitative finance.  Very popular with novices is to analyze prices rather than returns. Regression on the prices When you want returns, you should understand log returns versus simple returns. Here we will be randomly generating our “returns” (with R) and we will act as if … Continue reading...

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Introducing the Lowry Plot

January 11, 2011
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Introducing the Lowry Plot

Here at the Health and Safety Laboratory* we’re big fans of physiologically-based pharmacokinetic (PBPK) models (say that 10 times fast) for predicting concentrations of chemicals around your body based upon an exposure. These models take the form of a big system of ODEs. Because they contain many equations and consequently many parameters (masses of organs

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Recreating Gapminder World Map with R & ggplot2

January 11, 2011
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Recreating Gapminder World Map with R & ggplot2

Gapminder has posted an interesting chart using world development indicators from the World Bank. I thought it would be a good exercise to recreate this chart using R and ggplot2. While playing with the data, not log transforming GDP provides some interesting, and perhaps different, interpretation. The R script and graphics are below. Google Gadget Version library(ggplot2)

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Seasonal pair trading

January 10, 2011
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Seasonal pair trading

quanttrader.info is a good quantitative repository, where I found an idea about seasonal spreads play. The idea of seasonal pair trading differs from pairs trading in a way, that it doesn’t try to find deviation from the spread’s mean, but it looks at seasonal spread patterns. In some cases it is easier to find an

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sab-R-metrics: Basics of Vectors and Data Calling

January 6, 2011
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Wednesday, I began a new series called "sab-R-metrics". My hope is that it reduces the frustration that goes along with learning a new programming language and enhances others' ability to perform their own analysis in baseball or other sports. However, these tutorials will hopefully allow you to use these skills in other areas as well. ...

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sab-R-metrics: Basics of Vectors and Data Calling

January 6, 2011
By

Wednesday, I began a new series called "sab-R-metrics". My hope is that it reduces the frustration that goes along with learning a new programming language and enhances others' ability to perform their own analysis in baseball or other sports. However, these tutorials will hopefully allow you to use these skills in other areas as well. ...

Read more »

sab-R-metrics: Introduction to R

January 5, 2011
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sab-R-metrics: Introduction to R

In a recent post, I briefly mentioned that I may turn a majority of the focus of this blog to teaching R commands for use with sabermetric analysis. Only a few days later, Ricky Zanker began a new column at The Hardball Times doing just that. But that's okay. Hopefully both his and mine...

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sab-R-metrics: Introduction to R

January 5, 2011
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sab-R-metrics: Introduction to R

In a recent post, I briefly mentioned that I may turn a majority of the focus of this blog to teaching R commands for use with sabermetric analysis. Only a few days later, Ricky Zanker began a new column at The Hardball Times doing just that. But that's okay. Hopefully both his and mine...

Read more »

Creating prediction distributions

January 4, 2011
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Creating prediction distributions

Here we give details and code for the prediction distributions exhibited in yesterday’s blog post Tis the season to predict. Eight years of returns The equity indices use daily closing levels from the start of 2003.  This data comes from Yahoo. A roughly equivalent technique of selecting the last 2000 daily prices is used for … Continue reading...

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