Monthly Archives: June 2011

“Financial Risk Forecasting” – a book review by Christian Reusch

June 10, 2011
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A guest post by Christian Reusch giving a book review for the book “Financial Risk Forecasting” by Jon Danielsson. ———– As an academic-turned hedge fund professional with a particular interest in financial econometrics and quantitative money management, this book written by one of my former lecturers at the London School of Economics caught my attention: Having (had to) read...

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Cross de Bercy 2011 [v2&3]

June 10, 2011
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Cross de Bercy 2011 [v2&3]

Following my (un)reasonable time last year, I registered again for the annual “Cross de Bercy”  run by the Sport Club of the Finance Ministry (with whom/which CREST is affiliated). This is a two loop 10km race taking

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What is ordisurf() doing…?

June 10, 2011
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What is ordisurf() doing…?

I’m writing this post for two reasons: i) someone searched on Google for the term ‘what is ordisurf doing’ and ended up on my blog, and ii) because I have been on the receiving end of reviewers comments on a paper I co-authored where they didn’t know what ordisurf() was doing either! It is hardly surprising that people who...

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Simple plyr/ggplot example of cummulative distribution plots

June 9, 2011
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Simple plyr/ggplot example of cummulative distribution plots

I’ve been a big fan of ggplot2 for a long time but plyr has been in my toolkit for less than a year and it is now one of my most-used R packages. It is how aggregate/*apply would have been if they were awesome. In five lines this code computes the cumulative distribution functions of

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Rejection Sampling

June 9, 2011
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Rejection Sampling

An interesting sampling method that was covered briefly in my Bayesian statistics course was rejection sampling. Since I have nothing better to do, I thought it would be fun to make an acceptance-rejection algorithm using R. FUN!The Rejection Sampling method is usually used to simulate data from an unknown distribution. To do this one samples...

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Image color palette replacement

June 9, 2011
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Image color palette replacement

Here is an example of a function I wrote to change the color palette used in an image. The above example comes from a black and white original, although color images can also be used. The function first converts the image to grayscale in order to have ...

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A Quantstrat to Build on Part 5

June 9, 2011
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A Quantstrat to Build on Part 5

Another iteration of the quantstrat system but this time with a sum of standard deviations instead of simple count and then some comparison charts.  Thanks for the comments and I welcome many more.  In my head and it seems like in others base...

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Automating R Scripts on Amazon EC2

June 9, 2011
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Automating R Scripts on Amazon EC2

Overview: How to setup R on an EC2 instance of Ubuntu 11.04 (Natty Narwhal) How to setup Apache Tomcat 6.0 web server and configuring it with basic authentication so that we can view our output from R on a password … Continue reading →

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We are now a part of R-bloggers.com

June 9, 2011
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R-bloggers is a site that aggregates many of the best R blogs on the internet. We're glad they've allowed our R-related posts to be aggregated there. If you mainly write in R, it's worth checking them out.

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R: Speeding things up

June 9, 2011
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R is many things, but it's not exactly speedy like a Patas Monkey. In fact, while it is much faster than many other solutions, R is notably slower than Stata (even inspiring talks that it should be rewritten from scratch!).Fortunately, Radford Neal ha...

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