I wrote a quick function for simulating a Gaussian process given only its kernel function and used it to simulate processes with different kernels and very different properties.

In this post I detail problems that emerge when trying to estimate the parameters of GARCH models.

Introduction Having figured out how to perform walk-forward analysis in Python with backtrader, I want to have a look at evaluating a strategy’s performance. So far, I have cared about only one metric: the final value of the account at the end of a backtest relative. This should not ...

I analyze the performance of my ABM solution to the Battle for Riddler Nation and properties of strategy submissions using clustering.

Introduction I spent good chunks of Friday, Saturday, and Sunday attempting to write another blog post on using R and the quantstrat package for backtesting, and all I have to show for my work is frustration. So I’ve started to fall out of love with quantstrat and am thinking ...

In this post we look at stop-loss orders in quantstrat, and how to pick optimal parameters for a strategy.

In this article we see why modelling transaction costs matters and how to do so using quantstrat.

In this post we look at using quantstrat and other stpackages for developing, testing, and benchmarking trading strategies with R.

This is my first article in a two-part series introducing stock data analysis using R.

I discuss, with stories, why programming language choice matters and provide guidelines, along with an infographic of popular 2017 languages.

Pat Bagley is easily my favorite political cartoonist, period. For the politically aware in Utah, he is almost legendary, enjoying superstar status. I’ve been aware of him since I was a kid, and I always loved his cartoons. Not only does his artistic style appeal to me, he has ...

So Tuesday happened. I have a lot to say about our President-elect, and you’ll probably see a couple posts about him in the next few weeks. But that’s for later. Today, I’m writing about a more pressing issue, one that has been subject to debate for years ...

Naturally, both Hillary Clinton and Donald Trump have been accused of lying; if I had told you in 2012 that both candidates from both political parties were being accused of lies, you would likely have given me a blank, disinterested stare; this alone is not shocking. What is shocking, though, is ...

There was once a time where only the most extreme leftists would accuse Hillary Clinton of not being a true progressive, prior to, say, 2008. Even after 2008, Hillary Clinton was seen as perhaps being a more moderate Democrat, but still, ultimately, a progressive. Republicans certainly would call Clinton a leftist and ...

This is the third and final blog post in my series on income inequality. This post discusses the detachment of compensation from productivity that occured around 1973. I look at the data and use R for exploring this break, along with why it may have occured. R code is with the ...

CapitalOne contacted me a few months ago and requested that I apply for an internship with them for a data science related position. I never got the job (nor did I really want it; I had already agreed to teach during the summer and I was apprehensive about leaving people ...

Several industries’ core business model is based on being on the opposite side of “bets” on chance events made by their customers. Here I explain how these industries profit from this.