It is a fact that on most days, not much is going on in the stock market. When we estimate the relation of a stock with the market, or the “beta” of a stock, we use all available daily returns. … Continue reading →
Posts Tagged ‘ R ’
Printing nested tables in R – bridging between the {reshape} and {tables} packages
This post shows how to print a prettier nested pivot table, created using the {reshape} package (similar to what you would get with Microsoft Excel), so you could print it either in the R terminal or as a LaTeX table. This task is done by bridging between the cast_df object produced by the {reshape}...
Some new functions I’ve discovered in R
I’ve been writing a fair amount of R recently and have been going through a good learning period, here are some functions that I’ve discovered (mainly plyr and reshape related) and thought I would share: merge_all is a good way to merge multiple different data frames, rather than multiple merge commands. The key thing...
Removing Multibyte Characters from Strings
I was a bit annoyed by the error when loading a dataset that contains multi-byte characters. R basically just chokes on them. I have not really understood the intricacies of this, but it was basically just an annoyance and since I did not really use these characters in the strings containing them, I just...
hmm: implementation of viterbi algorithm (Durbin, 1998) Part 2
Previous post presented the problem of dishonest casino that ocassionally uses loaded die. Sequence of the real states is hidden, and we are trying to figure it out just by looking at the observations (symbols). If we apply our implementation to the data in the previous post, we can get the idea how well...
Visual Summary of #jan25 Twitter Activity
Last year, I covered a number of the so-called “Twitter protests” in China (#cn220), Iran (#25bahman), and Algeria (#fev12). Since these protests began in January 2011, the Arab Spring has claimed many members of both ruling and revolting groups … Continue reading →
Multiple Factor Model – Fundamental Data
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...
Categorizing my expenses
In order to analyse my expenses, a classification scheme is necessary. I need to identify categories that are meaningful to me. I decided to go with the “Classification of Individual Consumption by Purpose” (COICOP), for three reasons:It is made by...
Say it in R with "by", "apply" and friends
Iris versicolor (Source: Wikipedia)R is a language, as Luis Apiolaza pointed out in his recent post. This is absolutely true, and learning a programming language is not much different from learning a foreign language. It takes time and a lot of pr...
Le Monde puzzle [#755?]
![Le Monde puzzle [#755?]](http://feeds.wordpress.com/1.0/comments/xianblog.wordpress.com/14400/)
Le Monde puzzle of last weekend was about sudoku-like matrices. Consider an (n,n) matrix containing the integers from 1 to n². The matrix is “friendly” if the set of the sums of the rows is equal to the set of the sum of the columns. Find examples for n=4,5,6. Why is there no friendly...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
