Monthly Archives: April 2011

(Almost) Friday Function: alarm

April 21, 2011
By
(Almost) Friday Function: alarm

Last week I decided to start a weekly column detailing an interesting function each Friday, entirely forgetting that I would be on holiday, without internet access (shock horror!), tomorrow. So here’s your column a little early. The alarm function is something of a novelty, in that all it does is to make an annoying noise

Read more »

Survival skills for today’s analyst

April 21, 2011
By

I suffer a little from the age-old affliction of contrarianism. If a software package is used by the majority of the population, I assume it is flawed, highly limited, and its continued use will ultimately result in the downfall of the human race. Conversely, I am always extremely interested in a piece of software that has spread no further...

Read more »

supercalifragilisticexpialidocious = 1

April 21, 2011
By
supercalifragilisticexpialidocious = 1

I notice that the latest version of R has upped the maximum length of variable names from 256 characters to a whopping 10 000! (See ?name.) It makes the 63 character limit in MATLAB look rather pitiful by comparison. Come on MathWorks! Let’s have the ability to be stupidly verbose in our variable naming! Tagged:

Read more »

Non-standard assignment with getSymbols

April 21, 2011
By
Non-standard assignment with getSymbols

I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod package. The power and simplicity

Read more »

Risk fraction constraints and volatility

April 21, 2011
By
Risk fraction constraints and volatility

What is the effect on predicted and realized volatility of substituting risk fraction constraints for weight constraints? Previously This post depends on two previous blog posts: “Unproxying weight constraints” “Weight compared to risk fraction” The exact same sets of random portfolios are used in this post that were generated in the second of these. Payoff … Continue reading...

Read more »

iPhone geo-tracking database

April 20, 2011
By
iPhone geo-tracking database

So the web lit up a little today with news that iPhones are collecting time-stamped location data, and in a form that isn’t particularly hard to look at (and even with some nice apps to make animated maps of your travels etc): The database is SQLite, and I used R (and the RSQLite package) to

Read more »

A Mathematical Introduction to Least Angle Regression

April 20, 2011
By
A Mathematical Introduction to Least Angle Regression

(For a layman’s introduction, see here.) Least Angle Regression (aka LARS) is a model selection method for linear regression (when you’re worried about overfitting or want your model to be easily interpretable). To motivate it, let’s consider some other model selection methods: Forward selection starts with no variables in the model, and at each step it...

Read more »

ARMA Models for Trading, Part II

April 20, 2011
By
ARMA Models for Trading, Part II

We left the last post at the point of determining the best ARMA model. Before continuing the discussion, however, I would like to make a few points that might seem a bit questionable or unclear: We model the daily returns instead of the prices. There are multiples reasons: this way financial series usually become stationary,

Read more »

How to Source an R script automatically on a Mac using Automator and iCal

April 20, 2011
By
How to Source an R script automatically on a Mac using Automator and iCal

I wrote an R script that pulled data from an RSS feed.  The RSS feed updated frequently, so I wanted to be able to schedule the script to run automatically.  After some tinkering, I got it to work by implementing the steps below.  Note t...

Read more »

Day #27 A lot of graphics in one place

April 20, 2011
By

assignment in R Today my internship-promotor gave me the assignment to create this chart in R. This means: I get a lot of data and put a certain column on a barchart for each plate. On top of that data, you place 2 errorbars. At first I thought, piece ...

Read more »

Sponsors

Mango solutions



dominolab webpage



Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training

datasociety

http://www.eoda.de





CRC R books series





Six Sigma Online Training





Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)