Arthur Charpentier used R to denote a broken record of the CAC 40 when it went 11 consecutive days with negative returns. Question: What happens to the market after runs of positive or negative returns? Will the market tank or soar after n days of gains/losses? First, a little dissection of ... [Read more...]

While reading this article over at Fangraphs I was inspired to ask myself “what would Matt Kemp have to do between now and then end of his career to be seriously considered for the Hall of Fame?”.  This question comes … Continue reading → [Read more...]

Google's Fusion Tables look impressive, for those who want to try geo-visualizations of their data. You don't need much programming experience to be able to use it.For those who want to try it out, here's a nice intro that Kathyrn Hurley presented at the recent SVCC (Silicon Valley Code ... [Read more...]

In a previous post I introduced the permute package and the function shuffle(). In that post I got as far as replicating R’s base function sample(). Here I’ll briefly outline how shuffle() can be used to generate restricted permutations. shuffle() … Continue reading → [Read more...]

The 130/30 funds were getting lots of attention a few years ago. The 130/30 fund is a long/short portfolio that for each $100 dollars invested allocates $130 dollars to longs and $30 dollars to shorts. From portfolio construction perspective this simple idea is no so simple to implement. Let’s continue with our discussion ... [Read more...]

In a previous post I summarily described our options for (generalized to varying degrees) linear mixed models from a frequentist point of view: nlme, lme4 and ASReml-R†, followed by a quick example for a split-plot experiment. But who is really … Continue reading → [Read more...]

(By Joseph Rickert.) In San Jose topics like big data, map reduce, predictive models, mobile analytics and crowdsourcing draw a crowd even on a Saturday. So it turned out that the ACM data Mining Camp and "un-conference" was a very "happening" way to spend a Saturday. Over 500 people attended the ... [Read more...]

Yesterday, I wrote a post (in French) about short-selling in financial market since some journalists claimed that it was well-known that short -selling does increase volatility on financial market. Not only in French speaking journals actually, sin... [Read more...]

I am always looking for suggestions on how to get better at R, esp. for beginners. So when I see someone who's gotten adept at it, I ask them how they got there.This weekend, at the Bay Area ACM Data Mining Camp, one person gave me what seemed like ... [Read more...]

The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full October edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Applications of R Contest: Deadline ... [Read more...]

For my first contribution to the blog, I wanted to make some kind of enlightening visualization of campaign finance disclosure data from the Federal Election Commission’s website. It looks like they’re working on some new, easy-to-use data dumps here, but … Continue reading → [Read more...]

When working in research projects I tend to fit several, sometimes quite a few, alternative models. This model fitting is informed by theoretical considerations (e.g. quantitative genetics, experimental design we used, our understanding of the process under study, etc.) but … Continue reading → [Read more...]

[R] is an excellent open-source statistics language. It's cross-platform and free and I think it will eventually displace proprietary stat's packages due to its rapid development, speed and ease of use. So there's no time like the present to get used... [Read more...]

One of my favorite R packages that I use all the time is the RColorBrewer package. The package has been around for a while now and is written/maintained by Erich Neuwirth. The guts of the package are based on Cynthia Brewer’s very cool work on the us... [Read more...]

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Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In a previous post, I examined a simple stock trading strategy: Find the high point over the la... [Read more...]

Nodes are used in tikz to place content in a picture as part of a LaTeX document. Fast Tube by Casper When creating a tikz picture the origin is assumed to be at (0,0) and objects are placed with positioning relative to the origin on the picture. If we wanted to ... [Read more...]

So, installing rgdal, which is an important R package for spatial data analysis can be a bit of a pain on the mac. Here are two ways to make it happen.   The Easy Way In R run: install.packages('rgdal',repos="http://www.stats.ox.ac.uk/pub/RWin") The ... [Read more...]

  The sqldf package can be used to run sql queries on R data frames. The user simply needs to specify a sql statement enclosed by quotation marks within the sqldf() function. In the follow R code, you see various ways of using the sqldf package to run sql queries on ... [Read more...]

I found this great R-Visualization example via an R-Blogger post that xingmowang made. (One more good reason for why it is important to read lots of field-related blogs!)Here's the image:If this was merely eye-candy, I would have enjoyed it, but not in... [Read more...]