Monthly Archives: April 2012

Rmetrics financial engineering workshop

April 24, 2012
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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 workshop takes plase June 24-28. You can find the...

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Animations in R

April 24, 2012
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Animations in R

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...

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R: Interactive 3D WebGL plot of time-space cube with RGL

April 24, 2012
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R: Interactive 3D WebGL plot of time-space cube with RGL

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 device and then use

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Milano R net meeting

April 24, 2012
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Milano R net meeting

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 R net is a users

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Download Prices From Yahoo In Parallel

April 24, 2012
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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 some theoretical background is highly

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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

April 23, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

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 difference in performance of the SMA … Continue reading...

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Project Euler…in LaTeX?

April 23, 2012
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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 integers below 1000 which are divisible by 3...

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Complex arithmetic and airplane wings

April 23, 2012
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Complex arithmetic and airplane wings

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 about a complex holomorphic mapping

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Drawdown Look at Frontier of Assets and Systems

April 23, 2012
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Drawdown Look at Frontier of Assets and Systems

In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...

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Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

April 23, 2012
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Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

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.

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