June 2011

Performance ratios, bootstrapping and infinite variances

June 18, 2011 | Pat

If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a ... [Read more...]

Speeding Up MLE Code in R

June 18, 2011 | John Myles White

Recently, I’ve been fitting some models from the behavioral economics literature to choice data. Most of these models amount to non-linear variants of logistic regression in which I want to infer the parameters of a utility function. Because several of these models aren’t widely used, I’ve had ... [Read more...]

Tracking execution paths

June 18, 2011 | richierocks

Earlier this week, I was trying to figure out the path of execution through a big chunk of code. Once you reach a certain size of codebase, tracking which function gets called when can be tricky. My first thought for dealing with this was to add a message line at ... [Read more...]

Exploring the Market with Hurst

June 17, 2011 | klr

Randomly trudging through PerformanceAnalytics source code, I was intrigued by the Hurst Index calculation, which I discovered is more commonly called Hurst Exponent.  After quickly satisfying myself that I could actually do the rolling Hurst calculat...
[Read more...]

Raster, CMSAF and solaR

June 17, 2011 | Oscar Perpiñán Lamigueiro

The Satellite Application Facility on Climate Monitoring (CMSAF) generates, archives and distributes widely recognised high-quality satellite-derived products and services relevant for climate monitoring in operational mode. The data is freely accesible here after a registration process. I have ask them for several files with monthly averages of global solar radiation ... [Read more...]

Big-Data PCA: 50 years of stock data

June 17, 2011 | Sherry Lamonica

In this post, Revolution engineer Sherry LaMonica shows us how to use the RevoScaleR big-data package in Revolution R Enterprise to do principal components analysis on 50 years of stock market data -- ed. Principal components analysis, or PCA, seeks to find a set of orthogonal axes such that the first ... [Read more...]

solaR 0.24 at CRAN

June 17, 2011 | Oscar Perpiñán Lamigueiro

The version 0.24 of solaR is at CRAN and R-Forge. Some days before the 0.23 version was uploaded, but I had to make a quick fix to readMAPA: the url of http://www.mapa.es/siar has been changed to http://www.marm.es/siar. Moreover, this function has been renamed to ... [Read more...]

REITs for Everybody Now REITs for Nobody Part 2

June 16, 2011 | klr

As a quick follow-up to my first REITs for Everybody Might Now Mean REITs for Nobody, I want to look at REITs and High Yield bonds, which also might simultaneously attract conservative yield buyers and speculative beta chasers.HYG (iShares High Yield) ...
[Read more...]

Where Ichiro Hits

June 16, 2011 | David Smith

Google research scientist Peter Hauck used Weka and k-means cluster analysis to describe where Mariners right-fielder Ichiro favours hitting the baseball. He then used R to visualize the 6 clusters the k-means analysis identified: I sometimes find K-means clusting tough to explain as a statistical technique, but this makes for a ... [Read more...]

5000 R questions on stackoverflow.com

June 16, 2011 | David Smith

The R tag on stackoverflow.com hit a milestone yesterday: 5000 questions about the R language. (The 5000th question was about the fortunes package, incidentally -- thanks to Andrie de Vries for pointing this out on Twitter.) Stackoverflow.com continue... [Read more...]

Character occurrence in passwords

June 16, 2011 | csgillespie

As everyone knows, it seems that Sony is taking a bit of a battering from hackers.  Thanks to Sony, numerous account and password details are now circulating on the internet. Recently, Troy Hunt carried out a brief analysis of the password structure. Here is a summary of his post: There ... [Read more...]

Market arrows

June 16, 2011 | Pat

Graphs like Figure 1 are reasonably common.  But they are not reasonable. Figure 1: A (log) price series with an explicit guide line. Some have the prices on a logarithmic scale, which is an improvement on the raw prices. The problem with this sort of plot is that two particular data points ... [Read more...]

How to plot points, regression line and residuals

June 16, 2011 | Todos Logos

x y # plot scatterplot and the regression linemod1 plot(x, y, xlim=c(min(x)-5, max(x)+5), ylim=c(min(y)-10, max(y)+10))abline(mod1, lwd=2)# calculate residuals and predicted valuesres pre # plot distances between points and the regression linesegments(x, y, x, pre, col="red")# add labels (... [Read more...]
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