Blog Archives

Forecast Combination talk

September 20, 2019
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Forecast Combination talk

Courtesy of R Consortium, you can view my forecast combination talk (16 mins) given in France few months ago, below. The slides for talk and the paper it’s based on can be found here Related posts: Forecast Combination in R – slides The useR! 2019 held in Toulouse ended couple of days... Backtesting trading strategies with R Few weeks back...

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Forecast Combination in R – slides

July 14, 2019
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Forecast Combination in R – slides

The useR! 2019 held in Toulouse ended couple of days ago. I spoke of the recent R journal publication about forecast combinations (joint work with Christoph Weiss and Gernot Roetzer). Slides for the talk can be found here. Related posts: R Journal publication The R Journal is the open access, refereed journal of... Forecast combinations in R Few weeks back...

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Matrix-style screensaver in R

March 31, 2019
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Matrix-style screensaver in R

This post shares short code snippet to make your own screen saver in R, The Matrix-style: The code takes a few seconds to complete. Because of randomness, once you ran the code, you will never see the exact screen saver elsewhere. Enjoy. Related posts: Syntax highlighting style in Rmarkdown ... Most profitable hedge fund style This is not an...

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R Journal publication

March 1, 2019
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R Journal publication

The R Journal is the open access, refereed journal of the R project for statistical computing. It features short to medium length articles covering topics that should be of interest to users or developers of R. Christoph Weiss, Gernot Roetzer and myself have joined forces to write an R package and the accompanied paper: Forecast... Related posts: R tips and tricks...

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R tips and tricks – higher-order functions

January 27, 2019
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R tips and tricks – higher-order functions

A higher-order function is a function that takes one or more functions as arguments, and\or returns a function as its result. This can be super handy in programming when you want to tilt your code towards readability and still keep it concise. Consider the following code: It’s also quite safe to use in that... Related posts: R tips and tricks...

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Reproducible Finance with R – book review

January 5, 2019
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Reproducible Finance with R – book review

Reproducible Finance with R is a clever book, with modern treatment of classical concepts. Here below is what I liked- and disliked about the book. Back when I was practicing Judo, there was a guy in my group who mastered that one exercise (called Uchi Mata). He could go fighting 20 consecutive fights without losing... Related posts: Machine Trading – book...

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R tips and tricks – the assign() function

July 18, 2018
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R tips and tricks – the assign() function

The R language has some quirks compared to other languages. One thing which you need to constantly watch for when moving to- or from R, is that R starts its indexing at one, while almost all other languages start indexing at zero, which takes some getting used to. Another quirk is the explicit need for... Related posts: R tips and tricks...

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R in Finance highlights

June 26, 2018
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R in Finance highlights

The yearly R in Finance conference is one of my favorites: 1. Titans of the R community are there every year. This year the founder of Rstudio (but much more really), JJ Allaire was a keynote speaker. He gave a talk about Machine Learning with TensorFlow and R. 2. Single track. I like everything, don’t... Related posts: Forecast combinations in R...

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Adding Text to R Plot

November 5, 2015
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Adding Text to R Plot

Diversity is a real strength. By now it is common knowledge. I often see institutions openly encourage multinational environment and multidisciplinary professionals, with specific “on-the-job” training to tailor for own needs. No one knows a lot about a lot, so bringing different together enhance independent thinking and knowledge available to the organization. Clarity of communication

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Using R to model the classic 60/40 investing rule

April 9, 2014
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Using R to model the classic 60/40 investing rule

Image by Timothy Poulton   A long-standing paradigm among savers and investors is to favor a mixture of 40% bonds and 60% equities. The simple rationale is that stocks will provide greater returns while bonds will serve as a diversifier when if equities fall. If you are saving for your pension, you probably heard this

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