Stan is written in C++ and can be run from the command line and from R. We’d like for Python users to be able to run Stan as well. If anyone is interested in doing this, please let us know and we’d be happy to work with you ... [Read more...]

The folks at Rstudio have done some amazing work with the shiny package. From the shiny homepage, “Shiny makes it super simple for R users like you to turn analyses into interactive web applications that anyone can use.” Developing web applications has always appealed to me, but hosting, learning javascript, ... [Read more...]

Inspired by a post on PirateGrunt, I finally managed to pack metvurst up and turn it into a proper R-Package (the fact that I’m on holiday and have some time also helped). As a side-effect of this, the repository has been moved from … Continue reading → [Read more...]

I am a big fan of lattice/latticeExtra. In fact, nearly all visualisations I have produced so far make use of this great package. The possibilities for customisation are endless and the amount of flexibility it provides is especially valuable for … Continue reading → [Read more...]

In this post I want to highlight the second core function of the metvurst repository (https://github.com/tim-salabim/metvurst): The windContours function It is intended to provide a compact overview of the wind field climatology at a location and plots wind direction and … Continue reading → [Read more...]

It is Sunday, it's raining and I have a few hours to spend before I am invited for lunch at my parents place. Hence, I thought I'd use the time to produce another post. It has been a while since … Continue reading → [Read more...]

Recently, I have been doing some analysis for a project I am involved in. In particular, I was interested what role pacific sea surface temperatures play with regard to rainfall in East Africa. I spare you the details as I … Continue reading → [Read more...]

In this post, I will demonstrate how to download fantasy football projections from ESPN.com using R.  Having projections allows us to do many different analyses to determine our best possible fantasy team.  The projections on ESPN.com are currently from last year—they haven't been updated yet for the ... [Read more...]

Over the past two months I have tried to convert completely to HTML5 slides, HTML reports and R + knitr. The switch from Sweave came with a few frustrations but I think overall it is way better - it is incredibly efficient and while some flexibility on... [Read more...]

OK, so the scenario is as follows: we have a list of 2 elements which in turn are again lists with 2 elements (each of which is a data frame). None of the elements in question carry names (neither the … Continue reading → [Read more...]

Last time we looked at a different method of merging multiple files via fast mergin g. I highly recommend checking the fast merging function before we will translate it to a parallel solution. Parallel programming in this case means we are using more t... [Read more...]

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last.fm is an internet radio and music suggestion service. Registered users can also use last.fm to 'scrobble' tracks they've been listening to. last.fm then keeps track of a user's statistics in terms of top artists, albums and tracks.Luckily, last.fm... [Read more...]

The latest version of R (2.15.3) is now available for Ubuntu. You can find the packages on CRAN or via my Launchpad PPA. Just before the release of 2.15.3, a patch for "r-base" was released dealing with MD5 sums in the package the caused some problem... [Read more...]

In part 1, we took a look at VIX and the relationship it had between historical volatility and realized volatility.Continuing on, I thought I would take a look at next day returns and the VIX. There is a relationship between SPX and VIX in that when SP... [Read more...]

I wanted to revisit using some sort of volatility filter for systematic trading. In particular, if we are trading SPX, can we somehow use the VIX to produce better risk adjust returns? This is not about trading volatility, but more about using addition... [Read more...]

I wanted to know a bit more about the number of people suffering from Alzheimer. It has been getting more attention and it runs in my family. From CBS (Statistics Netherlands) I pulled the data regarding the number of people dying from it. I am af... [Read more...]

Last week on one of my favourite podcasts, ESPN’s Football Today, Matt Williamson & Kevin Weidl discussed the standout prospects from the NFL Combine. A lot of the conversation was around how the 40 yard dash times have improved year on year due to better training technique and specific training for ... [Read more...]

Adam Duncan, December 2012Also avilable on R-bloggers.com Prelude These posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written ... [Read more...]

Update: Apparently this post needs a disclaimer. The probabilities are based on odds published by an online bookmaker. In no way, shape, or form is this an attestation nor algorithmic prediction of who the next Pope will be. The house ALWAYS wins. The odds are developed by the bookmaker as ... [Read more...]