2353 search results for "time series"

5 Minute Analysis in R: Case-Shiller Indices

April 29, 2010
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5 Minute Analysis in R: Case-Shiller Indices

The Case-Shiller Home Price Indices measure residential home values for 20 cities in the US, with some indices going all the way back to the 80s. With housing prices all the rage these days, we should perform a quick-and-dirty analysis using R to see what we can glean from this rich dataset. First things

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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)? Part 2

April 3, 2010
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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)? Part 2

I created an example to show how the theory from part 1 might be applied using S&P500 as a proxy for performance. Just in case anyone viewing is not familiar with terminal wealth, it is the final (usually compounded) ending value (hence, terminal) of ...

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Intermarket Whac-A-Mole

March 6, 2010
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Intermarket Whac-A-Mole

Every trader that looks at more than one market throughout the day will recognize that there is a certain symmetrical relationship between certain markets at certain times. The confounding thing about these intermarket relationships is that they are fl...

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Artificial Immune Systems and Financial Applications?

February 11, 2010
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Artificial Immune Systems and Financial Applications?

One of the buzzwords that seems to be common these days is AIS or Artificial Immune Systems. It is a biologically inspired classification type system that essentially tries to replicate some of our own natural immune system algorithms. Our bodies hav...

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Must-Have R Packages for Social Scientists

December 11, 2009
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Must-Have R Packages for Social Scientists

After recently having to think critically about the value of various R packages for social science research, I realized that others might find value in a post on “must-have” R packages for social scientists. After the immensely popular post on this topic for Python packages a follow-up seemed appropraite. If you conduct social

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Package Update Roundup: Nov 2009

December 8, 2009
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This is a list of new or updated packages that were released for R in November, as announced on the r-packages mailing list. To include other updates on this list, please email David Smith. For a complete list of all updates on CRAN, see the CRANberries archive for November 2009. Follow package name links for ratings and other information...

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R / Finance 2010 Call for Papers

November 9, 2009
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Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next ...

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R / Finance 2010 Call for Papers

November 9, 2009
By

Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next sp...

Read more »

R / Finance 2010 Call for Papers

November 9, 2009
By

Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next ...

Read more »

R Function of the Day: rle

September 22, 2009
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Edit: This post originally appeared on my Wordpress blog on September 22, 2009. I present it here in its original form. The R Function of the Day series will focus on describing in plain language how certain R functions work, focusing on sim...

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