In a previous post, we reviewed how to import the Fama French 3-Factor data, wrangle that data, and then regress our portfolio returns on the factors. Please have a look at that previous post, as the following work builds upon it. For more background on Fama French, see the original ...

By my count, just over 200 new packages made it to CRAN and stuck during March. The trend for specialized, and sometimes downright esoteric science packages continues. I counted 40 new packages in this class. Most, but not all of these, are focused on bio-science applications. For example, the foreSIGHT package profiled ...

I was surprised by greta. I had assumed that the tensorflow and reticulate packages would eventually enable R developers to look beyond deep learning applications and exploit the TensorFlow platform to create all manner of production-grade statistical applications. But I wasn’t thinking Bayesian. After all, Stan is probably everything ...

RStudio recently announced the reticulate package, which is designed to help R users inter-operate with Python code. I was immediately excited by this announcement. In a past life, I worked with a team at the National Renewable Energy Lab (NREL) on vehicle simulations. Their models could predict MPG for vehicles ...

In two previous posts, we calculated and then visualized the CAPM beta of a portfolio by fitting a simple linear model. Today, we move beyond CAPM’s simple linear regression and explore the Fama French (FF) multi-factor model of equity risk/return. For more background, have a look at the ...

Here are my picks for the “Top 40” packages of the 171 new packages that made it to CRAN (and stuck) in February, organized into the following categories: Computational Methods, Data, Finance, Science, Statistics, Time Series, and Utilities. Computational Methods adnuts v1.0.0: Provides an implementation of the no-U-turn (NUTS) algorithm by Hoffman ...

Data scientists prefer using the latest R packages to analyze their data. To ensure a good user experience, you will need a recent version of R running on a modern operating system. If you run R on an production server – and especially if you use RStudio Connect – plan to support ...

Shiny’s Design Most Shiny apps out there have a similar design style. It is usually easy for a seasoned Shiny developer to tell the difference between a Shiny app and a standard website. Why is this? Shiny apps ARE websites for all intents and purposes. Why do they not ...

I have been searching for various ways to find information about R packages for some time now, but I only recently learned about the CRAN_package_db() function in the base tools package. If a colleague hadn’t pointed it out to me, I am sure I would never have ...

In a previous post, we covered how to calculate CAPM beta for our usual portfolio consisting of:

+ SPY (S&P500 fund) weighted 25%
+ EFA (a non-US equities fund) weighted 25%
+ IJS (a small-cap value fund) weighted 20%
+ EEM (an emerging-mkts fund) weighted 20%
+ AGG (a bond fund) weighted 10%

Today, we will move on to visualizing the CAPM beta and explore some ggplot and highcharter functionality, along with the broom package. Before we can do any of this CAPM work, we ...

Here are my “Top 40” picks from the two hundred or so new packages that stuck to CRAN in January, listed under seven categories: Data, Data Science, Science, Statistics, Time Series, Utilities and Visualizations (I say “stuck to” because I counted at least six packages that were accepted onto CRAN in ...

Two weeks ago, rstudio::conf 2018 was held in San Diego. We had 1,100 people attend the sold-out event. In this post, I summarize my experience of the talks on the topic of deep learning with R, including the keynote by J.J. Allaire. Keynote The keynote on the second day was ...

Introduction Companies using Google BigQuery for production analytics often run into the following problem: the company has a large user hit table that spans many years. Since queries are billed based on the fields accessed, and not on the date-ranges queried, queries on the table are billed for all available ...

Sometimes it appears to me that the invisible hand economists speak of guides the market for new R packages. Eight of the 129 new packages that stuck to CRAN in December fall under Computational Methods, a category I have only recently begun using. All of them made it into the list ...

Any programming environment should be optimized for its task, and not all tasks are alike. For example, if you are exploring uncharted mountain ranges, the portability of a tent is essential. However, when building a house to weather hurricanes, investing in a strong foundation is important. Similarly, when beginning a ...

In a recent post, I mentioned three avenues for working with TensorFlow from R: * The keras package, which uses the Keras API for building scaleable, deep learning models * The tfestimators package, which wraps Google’s Estimators API for fitting models with pre-built estimators * The tensorflow package, which provides an interface ...

Happy 2018 and welcome to our first reproducible finance post of the year! What better way to ring in a new beginning than pondering/calculating/visualizing returns distributions. We ended 2017 by tackling skewness, and we will begin 2018 by tackling kurtosis. Kurtosis is a measure of the degree to which portfolio returns ...

Not everyone has the luxury of taking some downtime at the end the year, but if you do have some free time, you may enjoy something on my short list of downtime reading. The books and articles here are not exactly “light reading”, nor are they literature for cuddling by ...