Monthly Archives: December 2010

R Packages for Social Search

December 30, 2010
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Jesse Bridgewater works on "social search awesomeness" for the Bing search engine, and is setting up his dev environment with the necessary tools including python, vim, and R. Jesse has shared a handy script he uses to install all the specialty packages he uses for his data analysis. This is a handy script to modify for your own purposes,...

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Blog year 2010 in review

December 30, 2010
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Blog year 2010 in review

The blog year started in August and consists of 30-something posts.  Here is a summary. Quant concepts backtesting: Backtesting — almost wordless cointegration: American TV does cointegration efficient frontier: Anomalies meet volatility implied alpha: Implied alpha — almost wordless portfolio theory: Ancient portfolio theory random walk: The tightrope of the random walk returns: A tale … Continue reading...

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Analysis of Facebook status updates

December 29, 2010
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Analysis of Facebook status updates

The Facebook Data Team has published an analysis of the status updates of Facebook users, by categorizing words according to the 68 categories of the Linguistic Inquiry and Word Count Dictionary, and tabulating the frequencies of their use. It's fairly interesting to see this kind of analysis applied to Facebook, but unfortunately doesn't reveal much in the way of...

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Temporal Trends in Soil Science Jargon — via Google Ngram Viewer

December 29, 2010
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Temporal Trends in Soil Science Jargon — via Google Ngram Viewer

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More typos in Chapter 5

December 29, 2010
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More typos in Chapter 5

Following Ashley’s latest comments on Chapter 5 of Introducing Monte Carlo Methods with R, I realised Example 5.5 was totally off-the-mark! Not only the representation of the likelihood should have used prod instead of mean, not only the constant should call the val argument of integrate, not only integrate  uses lower and upper rather than

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Book Review: A Beginner’s Guide to R

December 29, 2010
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A review of Zuur et al.'s "A Beginner's Guid to R". This book quickly and efficiently introduces you to the peculiarities of the R programming language so that you can soon move on to what you actually want to use R for.

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Book Review: R in a Nutshell

December 29, 2010
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A brief review of R in a Nutshell by Joseph Adler. This book continues to serve as a useful reference that sits on my desk next to my computer, waiting to tell me the name of that command I've just forgotten.

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Converting a String to a Variable Name On-The-Fly and Vice-versa in R

December 28, 2010
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Recently, I had a professor ask me how to take a string and convert it to an R variable name on-the-fly. One possible way is: x <- 42 eval(parse(text = "x")) [1] 42 Now, suppose we want to go the other way. The trick is just as simple: x <- 42 deparse(substitute(x)) [1] "x"

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Generating stress scenarios: null correlation is not enough

December 28, 2010
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Generating stress scenarios: null correlation is not enough

In a recent post (here, by @teramonagi), Teramonagi mentioned the use of PCA to model yield curve, i.e. to obtain the three factor, "parallel shift", "twist" and "butterfly". As in Nelson & Siegel, if m is maturity, is the yield of the cu...

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nlm [unused argument(s) (iter = 1)]

December 28, 2010
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nlm [unused argument(s) (iter = 1)]

Ashley put the following comment on Chapter 5 of Introducing Monte Carlo Methods with R”: I am reading chapter 5. I try to reproduced the result on page 128. The R codes don’t work on my laptop. When I try to run the following codes on page 128 > for (i in 1:(nlm(like,sta)$it)){ + mmu=rbind(mmu,nlm(like,sta,iter=i)$est)}

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