Posts Tagged ‘ Algorithm ’

Algorithm Whisperer

April 6, 2011
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Algorithm Whisperer

I was staring at my favorite trading algorithm the other day and I could swear it wanted to tell me something. I've made contact with it in the past, but our conversations pretty much ran along the lines of "What position are you in the market?" to whi...

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Subsampling for dummies

July 8, 2010
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A little piece of code dealing with the subsampling of matrices, in R. Useful if you want to use something akin to bootstrap, or just check the size of your sample with regard to various statistics.

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A von Mises variate…

March 25, 2010
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A von Mises variate…

Inspired from a mail that came along the previous random generation post the following question rised : How to draw random variates from the Von Mises distribution? First of all let’s check the pdf of the probability rule, it is , for . Ok, I admit that Bessels functions can be a bit frightening, but

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