We have been looking at a way to improve risk adjusted returns by using a volatility filter. Although we could use VIX or equivalent, it turns out that historical volatility will work just as well, if not a little better.You can see part 1 here Digging into the VIX, and ... [Read more...]

Barycentric interpolation generalises linear interpolation to arbitrary dimensions. It is very fast although suboptimal if the function is smooth. You might now it as algorithm 21.7.1 in Numerical Recipes (Two-dimensional Interpolation on an Irregular Grid). Using package geometry it can be implemented in a few lines of code in R. Here’... [Read more...]

[caption id="attachment_618" align="aligncenter" width="480"] A blend between a basic scatterplot, lattice scatterplot and a ggplot[/caption] In a recent post I compared the Cairo packages with the base package for exporting graphs. Matt Neilson was kind enough to share in a comment that the Cairo library is now ... [Read more...]

In GNU R the simplest way to measure execution time of a piece code is to use system.time. However, sometimes I want to find out how many times some function can be executed in one second. This is especially useful when we want to compare function... [Read more...]

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What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike during a crisis which is when you most want optimization to work. This post looks at a small piece of that question.  ... [Read more...]

Summary This tutorial shows how to create diagrams with grouped bar charts or dot plots with ggplot. The groups can also be displayed as facet grids. Importing the data from SPSS All following examples are based on an imported SPSS … Weiterlesen → [Read more...]

For some reason, I didn't notice a few months ago the best way to perform a parallelized version of Lapply with package snowfall. We implemented the parallel version of function lapply with the function sfLapply, in the development of our pipeline p... [Read more...]

Upgrading R on Windows is not easy. While the R FAQ offer guidelines, some users may prefer to simply run a command in order to upgrade their R to the latest version. That is what the new {installr} package is …Read more » [Read more...]

Documenting code can be a bit of a pain. Yet, the older (and wiser?) I get, the more I realise how important it is. When I was younger I said 'documentation is for people without talent'. Well, I am clearly loosing my talent, as I sometimes struggle to understand what ... [Read more...]

Neural networks have received a lot of attention for their abilities to ‘learn’ relationships among variables. They represent an innovative technique for model fitting that doesn’t rely on conventional assumptions necessary for standard models and they can also quite effectively handle multivariate response data. A neural network model is ... [Read more...]

In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r ... [Read more...]

The Times Higher Education (http://www.timeshighereducation.co.uk) released its World Reputation Ranking. The ranking employs survey consultation among invited-only academics to measure reputation among several universities. It is assumed to be the world’s largest opinion survey of this sort across the globe. Every year, a list of ... [Read more...]

I came up with the following function to tap into the FourSquare trending venues API: library("RCurl", "RJSONIO")   foursquare [Read more...]

Tired of manually running a python script to scrape the latest bookmaker odds on the next Pope, R user AJ (an analytical research manager at a large healthcare company) instead created an R script to track the odds on the Papal successor, and automated it with the Shiny package for ... [Read more...]

Between the Strata conference and various announcements, last week was certainly a busy one for the crew here at Revolution Analytics. So I thought I'd take the opportunity to catch you up on some of the recent media articles you might have missed: The Wall Street Journal interviewed our new ... [Read more...]

This is a really great exposition on an infographic. Note that the design elements and "chart junk" serve to better connect and communicate the data to the viewer. The choice not to go with pie charts for the first set of plots is a good one. The drawbacks of polar ... [Read more...]

The financial market is not only made of stock options. Other financial products enable market actors to target specific aims. For example, an oil buyer like a flight company may want to cover the risk of increase in the price of oil. In this case it i... [Read more...]

Following a chat with @andypryke, I thought I’d try out a simple bit of feature detection around approximated follower acquisition charts (e.g. Estimated Follower Accession Charts for Twitter) to see if I could detect dates around which there were spikes in follower acquisition. So for example, here’s ... [Read more...]

Michael Betancourt will be speaking at UCLA: The location for refreshment is in room 51-254 CHS at 3:00 PM. The place for the seminar is at CHS 33-105A at 3:30pm – 4:30pm, Wed 6 Mar. ["CHS" stands for Center for Health Sciences, the building of the UCLA schools of medicine and public ... [Read more...]