R

Bonds Much Sharpe -r Than Buffett

August 23, 2012 | klr

Mebane Faber’s post Buffett’s Alpha points out Warren Buffett’s 0.76 Sharpe Ratio discussed in the similarly title paper Buffet’s Alpha.  I of course immediately think about the 8th Wonder of the World – the US Bond Market, whose Sharpe ...
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London 2012 Olympics — Men and Women 400-metre medley

August 23, 2012 | Tony

Alan brought up the suspicion to Ye’s world record in women 400 metres individual medley. And I quote: “Her last split caused controversy (deep suspicion of doping) as she swam it faster than the fastest male swimmer. I wonder how commonly this … Continue reading → [Read more...]

Benchmarking random-number generation from C++

August 22, 2012 | David Smith

If you're writing C++ code and want to generate random numbers, you might not be aware that R provides an API to call the R RNG functionality directly. The Rcpp package's "syntactic sugar" feature makes this process easier, by automating the process of translating a subset of ordinary R code ... [Read more...]

London 2012 Olympics — world record in women 400-metre medley

August 22, 2012 | Tony

I’ve been going through the medal statistics in London 2012 Olympics recently. I was planning to present some extra charts, such as medal-per-milli-population or medal-vs-GDP. However, it’s a little boring to present the same kind of charts. Thus, I’d like to look into some particular … Continue reading → [Read more...]

ARMA Models for Trading

August 21, 2012 | ivannp

In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models, however, I strongly recommend Introductory Time Series with R, which I find is a perfect combination between light ... [Read more...]

Creating beautiful reports from R with knitr

August 21, 2012 | David Smith

People use the R language every day to create the elements of reports: tables, charts, analyses, and forecasts. But assembling all of that information into a print-ready document laid out with text can a hassle. You can cut-and-paste all of the elements into Word, but then what do you do ... [Read more...]

London 2012 Olympics — Medals per event

August 21, 2012 | Tony

It’s almost midnight. Before I go sleeping, I’d like to post the chart about ”medals per event” on 2012 Olympics. As some visitors suggested, I searched for the competition information for each athlete. Finally, thankful to the mighty Guardian datablog, I find the … Continue reading → [Read more...]

Sigma motion visual illusion in R

August 21, 2012 | Markus Gesmann

Michael Bach, who is a professor and vision scientist at the University of Freiburg, maintains a fascinating site about visual illusions. One visual illusion really surprised me: the sigma motion. The sigma motion displays a flickering figure of bla... [Read more...]

Adaptive Asset Allocation – Sensitivity Analysis

August 20, 2012 | systematicinvestor

Today I want to continue with Adaptive Asset Allocation theme and examine how the strategy results are sensitive to look-back parameters used for momentum and volatility computations. I will follow the sample steps that were outlined by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm ... [Read more...]

Getting Started with R and Hadoop

August 20, 2012 | David Smith

Last week's meeting of the Chicago area Hadoop User Group (a joint meeting the Chicago R User Group, and sponsored by Revolution Analytics) focused on crunching Big Data with R and Hadoop. Jeffrey Breen, president of Atmosphere Research Group, frequently deals with large data sets in his airline consulting work, ... [Read more...]

plot.xts with Moving Average Panel

August 20, 2012 | klr

(for all plot.xts posts, see http://timelyportfolio.blogspot.com/search/label/plot.xts) As another example of all that we can do with the new plot.xts, let’s try to do a price plot with a moving average overlays.  We will use the ETFs shown by M...
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Heatmap tables with ggplot2

August 20, 2012 | steve

I wrote before about heatmap tables as a better way of producing frequency or other tables, with a solution which works nicely in latex. It is possible to do them much more easily in ggplot2, like this library(Hmisc) library(ggplot2) library(reshape) data(HairEyeColor) P=t(HairEyeColor[,,2]) Pm=melt(... [Read more...]

Horizon plots with ggplot2, sort-of

August 19, 2012 | steve

The Timely Portfolio blog via R-bloggers has recently published some interesting entries about the value of horizon plots for visual comparison of a number of time series. Very nice it looks too. You can read more about them here. The trick to understanding them is to imagine that each row ...
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London 2012 Olympics — Medals per hundred players

August 19, 2012 | Tony

It’s the weekend. I just woke up from a nap. Got my mind freshed. I’d like to continue with my digging into the Olympics medal results. Today, I cited the number of participants from each country (see wikipedia). I want to see how … Continue reading → [Read more...]

read raster data in parallel

August 18, 2012 | Tim Salabim

Use library(parallel) to read raster data in parallel fashion Use library(parallel) to read raster data in parallel fashion Recently, I have been doing some analysis for a project I am involved in. In particular, I was interested what role pacific sea surface temperatures play with regard to rainfall ...
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GARCH Panel in plot.xts

August 17, 2012 | klr

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:
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Ryan Rosario on Parallel programming in R

August 17, 2012 | David Smith

Earlier this year data scientist Ryan Rosario gave a talk on parellel computing with R to the Los Angeles R User Group, and he recently made the slides from the talk available online. They're a great resource for anyone looking to make use of multi-processor systems a Hadoop based architechure ... [Read more...]

Using R from Inside Statistica

August 17, 2012 | inkhorn82

I’ve been spending a lot of time in the last month or so doing projects at work not statistics related, hence the lack of posts!  In the interim, I had to do some serious research on handling datasets bigger than … Continue reading → [Read more...]
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