Posts Tagged ‘ R Language ’

The BurStFin R package

February 16, 2012
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The BurStFin R package

Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, but the variance estimation functions could be of use in other applications as well. Also of general interest is threeDarr which creates a three-dimensional array out … Continue reading...

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A slice of S&P 500 kurtosis history

February 13, 2012
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A slice of S&P 500 kurtosis history

How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird.  The original idea was of peakedness — how peaked is the distribution at the center.  That’s what we can see, … Continue reading...

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The US market will absolutely positively definitely go up in 2012

February 6, 2012
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The US market will absolutely positively definitely go up in 2012

The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for  the year.  If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, beat the Patriots. The birth … Continue reading...

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Vectorized R vs Rcpp

February 1, 2012
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Vectorized R vs Rcpp

In my previous post, I tried to show, that Rcpp is 1000 faster than pure R and that generated the fuss in the comments. Being lazy, I didn’t vectorize R code and at the end I was comparing apples vs oranges. To fix that problem, I built a new script, where I’m trying to compare

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Computational Econometrics: Aggregate Demand with Random Parameters

January 31, 2012
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Computational Econometrics: Aggregate Demand with Random Parameters

Computational Econometrics: Aggregate Demand with Random Parameters: From microeconomics we know that individuals and firms have demand curves for goods and services. But what happens when you try to get a picture of the demand for goods and services f...

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The power of Rcpp

January 30, 2012
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The power of Rcpp

While ago I built two R scripts to track OMX Baltic Benchmark Fund against the index. One script returns the deviation of  fund from the index and it works fast enough. The second calculates the value of the fund every minute and it used to take for while. For example, it spent 2 minutes or

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How to create the best Interactive R Language Online Learning Platform from the views of R community?

January 26, 2012
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How to create the best Interactive R Language Online Learning Platform from the views of R community?: R offers a breadth and depth in statistical computing beyond what is available in commercial closed source products. Yet R remains, primarily, a ...

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The distribution of financial returns made simple

January 23, 2012
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The distribution of financial returns made simple

Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily log returns in the year.  … Continue reading...

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How to search the R-sig-finance archives

January 19, 2012
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How to search the R-sig-finance archives

A not unusual part of a response on the R-sig-finance mailing list is: “Search the list archives.” In principle that makes sense.  In practice it might not be clear what to do.  Now it should be. The list The R-sig-finance mailing list deals with the intersection of questions about the R language and finance.  It … Continue reading...

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A slice of S&P 500 skewness history

January 16, 2012
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A slice of S&P 500 skewness history

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...

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