For those looking for an in-depth workshop on financial engineering with R, look no further than the R/Rmetrics Workshop and Summer School held annually in beautiful Meielisalp, Switzerland. This is an intimate workshop limited to around 50 participants, and features tutorials from leading practitioners in finance with R. This year's ... [Read more...]

Animated charts can be very helpful in illustrating concepts or discovering relationships, which makes them very helpful in teaching and exploratory research. Fortunately, creating animated graphs in R is fairly straightforward, once you have the right... [Read more...]

With the recently relased version of the package RGL (V. 0.92.879) there is a new option to publish 3D plots as an interactive WebGL graphic. Nearly every 3D plot you set up in a RGL window can be exportet via a very easy command. Just plot as usual into your rgl ... [Read more...]

I received the announce of the first Milano R net meeting, and I am glad to post it below. If you are based in Milano area you might think about going. If you are not based in Milano area, you might think about going as well! Milano R net Milano ... [Read more...]

Following my previous post about rewriting my code to run in parallel I have modified the code for downloading the S&P 500 prices from Yahoo to run i parallel as well. To be honest, I quite enjoy writing the code to run in parallel. It's fun for various reasons, but ... [Read more...]

Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility Filter. In this follow up, I will take a closer look at the individual trades of each strategy. This may provide valuable information to explain the ... [Read more...]

I've been joking for a while now that I was going to start solving project euler problems in LaTeX.  Then today I finally did one.  So let's talk about solving Project Euler problem number 1 (the easy one) using only LaTeX. The problem asks you to sum up all the positive ... [Read more...]

I was once told that the reason that such a shape was so commonly used for aeroplane wings was merely that then one could study it mathemtically by just employing the Zhoukowski transformation. I hope that this is not true! (R. Penrose, “The Road to Reality”, p.150) Penrose here talks ... [Read more...]

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In this short post I take a look at how to use R and ggplot2 to visualize effect sizes (Cohen’s d) and how to shade the overlapping area of two distributions. [Read more...]

Update: I have created an interactive effect size visualization here Introduction to effect sizes Many times you read in a study that “x and y were significantly different, p __ .05”, which is another way of saying that “assuming that the null hypothesis is true, the probability of getting the observed value ... [Read more...]

A few days ago, Andrew Barr had a great post on his blog. It was titled, "R is not just for nerds....it has drop-down menus!" You can bet that this one caught my eye when it was re-posted on R-Bloggers.Briefly, Andrew takes us through the installation and basic ... [Read more...]

MapReduce, the heart of Hadoop, is a programming framework that enables massive scalability across servers using data stored in the Hadoop Distributed File System (HDFS). The Oracle R Connector for Hadoop (ORCH) provides access to a Hadoop cluster from R, enabling manipulation of HDFS-resident data and the execution of MapReduce ... [Read more...]

This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the gr... [Read more...]

Ted Harding posed an interesting puzzle challenge on the r-help mailing list recently. Here's the puzzle: Take the numbers 1, 2, 3, etc. up to 17. Can you write out all seventeen numbers in a line so that every pair of numbers that are next to each other, adds up to give a square ... [Read more...]

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I've made some updates to the Emacs Starter Kit for the Social Sciences. The kit builds on Phil Hagelberg's original and Eric Schulte's org-mode version, and incorporates some packages and settings that are particularly useful for the social sciences. ... [Read more...]

The common approach to estimating a binary dependent variable regression model is to use either the logit or probit model. Both are forms of generalized linear models (GLMs), which can be seen as modified linear regressions that allow the dependent variable to originate from non-normal distributions. The coefficients in a ... [Read more...]