April 2012

Volatility Position Sizing to improve Risk Adjusted Performance

April 30, 2012 | 0 Comments

Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance. I will use the Average True Range (ATR) as a measure of Volatility and will increase allocation during low Volatility periods and will decrease allocation during high Volatility periods. Following are two ... [Read more...]

Information Age: graduates driving industry adoption of R

April 30, 2012 | 0 Comments

Information Age recently published a feature article devoted to the R language, "Putting the R in analytics". Says author Pete Swabey: Already popular in universities, there are signs that R is finding increasing adoption in the enterprise. This promises to lower the barriers of entry for advanced analytics, and may ... [Read more...]

French Global Factors

April 30, 2012 | 0 Comments

I have said it already in multiple posts, but Kenneth French’s data library is one of the most generous and powerful contributions to the financial community.  To build on Systematic Investor’s series on factors, I thought I should run some ba...
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Bayesian ANOVA for sensory panel profiling data

April 30, 2012 | 0 Comments

In this post it is examined if it is possible to use Bayesian methods and specifically JAGS to analyze sensory profiling data. The aim is not to obtain different results, but rather to confirm that the results are fairly similar. The data used is the c...
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Example 9.29: the perils of for loops

April 30, 2012 | 0 Comments

A recent exchange on the R-sig-teaching list featured a discussion of how best to teach new students R. The initial post included an exercise to write a function, that given a n, will draw n rows of a triangle made up of "*", noting that for a beginner, this may require ...
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Cross-sectional skewness and kurtosis: stocks and portfolios

April 30, 2012 | 0 Comments

Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in “Replacing market indices” and Figure 1. Figure 1: A cross-sectional distribution of simple returns of stocks. In particular they will have values for ... [Read more...]

Incompetence borne of excessive cleverness

April 29, 2012 | 0 Comments

I have just got back from the 24 hour Data Science Global Hackathon; I was an on-site participant at Hub Westminster in London (thanks to Carlos and his team for doing such a great job looking after us all {around 50 turned up from the 100 who registered; the percentage was similar in ... [Read more...]

The Need for paste2 (part II)

April 29, 2012 | 0 Comments

This is Part II of a multi part blog on the paste2 function… In my first post on the paste2 function I promised a proof of a few practical uses.  The first example I have comes from psychometrics and comes out of … Continue reading → [Read more...]

The R-Podcast Episode 6: Importing Data from External Sources

April 29, 2012 | 0 Comments

In this episode: Listener feedback and importing data from external sources into R. We dive into the basics of importing delimited text files using read.table and its varients. We also discuss recommendations for importing MS Excel spreadsheet files, relational databases such as MySQL, data from HTML tables, and files ... [Read more...]

The “best” proxies for temperature reconstruction

April 29, 2012 | 0 Comments

In the last post I presented the distribution of correlation coefficients of temperature proxies with the actual temperature observations during the past 150 years. One of the conclusions was that most proxies correlate weakly with temperature observations. However, there seemed to be some proxies that do have some significant positive correlation ... [Read more...]

mad statistic

April 29, 2012 | 0 Comments

In the motivating toy example to our ABC model choice paper, we compare summary statistics, mean, median, variance, and… median absolute deviation (mad). The latest is the only one able to discriminate between our normal and Laplace models (as now discussed on Cross Validated!). When rerunning simulations to produce nicer ... [Read more...]

The Need for paste2 (part I)

April 29, 2012 | 0 Comments

This is Part I of a multi part blog on the paste2 function… I recently generated a new paste function that takes an unspecified list of equal length variables (a column) or multiple columns of a data frame  and pastes … Continue reading → [Read more...]

Getting SASsy

April 29, 2012 | 0 Comments

Although I am most familiar with R for statistical analysis and programming, I also use a fair amount of SAS at work. I found it a huge transition at first, but one thing that helped make SAS “click” for me … Continue reading → [Read more...]

Clustering analysis and its implementation in R

April 29, 2012 | 0 Comments

Earlier I posted a blog for "k-means + heatmap" used for clustering analysis. Recently to prepare for the "Bioinformatics Tools" meeting, I made a slide with more details on "clustering analysis". Here it is:https://docs.google.com/presentation/d/1vMS3... [Read more...]

Animating Schelling’s segregation model

April 29, 2012 | 0 Comments

Recent blog post on Animations in R inspired me to write a code that generates animations of simulation model. For this task I have chosen Schelling's segregation model.Having written the code I have found that one year ago a similar code has been...
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Guess who wins: apply() versus for loops in R

April 28, 2012 | 0 Comments

Yesterday I tried to do some data processing on my really big data set in MS Excel. Wow, did it not like handling all those data!! Every time I tried to click on a different ribbon, the screen didn’t even … Continue reading → [Read more...]

Open data and ecological fallacy

April 28, 2012 | 0 Comments

A couple of days ago, on Twitter, @alung mentioned an old post I did publish on this blog about open-data, explaining how difficult it was to get access to data in France (the post, published almost 18 months ago can be found here, in French).... [Read more...]

microbenchmarking with R

April 28, 2012 | 0 Comments

I love to benchmark.  Maybe I’m a bit weird but I love to bench  everything in R.  Recently I’ve had people raise accuracy challenges to the typical system.time and rbenchmark package approaches to benchmarking.  I saw Hadley Wickham promoting the … Continue reading → [Read more...]
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