Most profitable hedge fund style

April 21, 2012 | Eran

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading → [Read more...]

Bootstrap example

March 30, 2012 | Eran

Bootstrap your way into robust inference. Wow, that was fun to write.. Introduction Say you made a simple regression, now you have your . You wish to know if it is significantly different from (say) zero. In general, people look … Continue reading → [Read more...]

Europe most dangerous cities

March 15, 2012 | Eran

When I was searching for data about U.S prison population, for another post, I run across eurostat, a nice source for data to play around with. I pooled some numbers, specifically homicides recorded by the police. A panel data for … Continue reading → [Read more...]

Spurious Regression illustrated

March 4, 2012 | Eran

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading → [Read more...]

Live Rolling Correlation Plot

February 19, 2012 | Eran

Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading → [Read more...]

piecewise regression

February 11, 2012 | Eran

A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading → [Read more...]

Say Hi to CloudStat!

December 30, 2011 | CloudStat

Hello and welcome to the CloudStat official blog! We’ll be using this space to talk about product updates, getting the most out of CloudStat, and random thoughts on data analysis learning, especially in R language. More about CloudStat can be vie... [Read more...]

Pairs Trading Issues

December 20, 2011 | Eran

[This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your [Read more...]

Do they really know what they are doing?

November 13, 2011 | Eran

I am talking here about money managers. for those of us who have one. We assume they understand about markets in such a way that they can, and will generate at least the benchmark returns, what ever this benchmark may … Continue reading → [Read more...]

OLS beta VS. Robust beta

October 3, 2011 | Eran

In financial context, is suppose to reflect the relation between a stock and the general market. A broad based index such as the S&P 500 is often taken as proxy for the general market. The , without getting into too … Continue reading → [Read more...]

WordPress WordCloud with R

August 3, 2011 | Martin Scharm

These days one can frequently read about wordclouds created with R, initiated by the release of the wordcloud package by Ian Fellows on July 23rd. So here I am to put in my two cents. I thought about creating a wordcloud of a complete blog history, so I build a ... [Read more...]

The foundations of Statistics [reply]

July 18, 2011 | xi'an

Shravan Vasishth has written a response to my review both published on the Statistics Forum. His response is quite straightforward and honest. In particular, he acknowledges not being a statistician and that he “should spend more time studying statistics”. I also understand the authors’ frustration at trying “to recruit several ... [Read more...]

The foundations of Statistics: a simulation-based approach

July 11, 2011 | xi'an

“We have seen that a perfect correlation is perfectly linear, so an imperfect correlation will be `imperfectly linear’.” page 128 This book has been written by two linguists, Shravan Vasishth and Michael Broe, in order to teach statistics “in  areas that are traditionally not mathematically demanding” at a deeper level than ... [Read more...]

Now I’m R-Blogging

July 10, 2011 | Martin Scharm

Today a lot of great mails arrived at my inbox. In one of them I was reading I’ve just added your feed to the site. Where did this mail come from? The sender of the email was Tal Galili. He is a researcher in BioStatistics at the Tel Aviv ... [Read more...]

Data Aggregation in R: plyr, sqldf and data.table

April 28, 2011 | hayward

I’ve also previously put up a couple of posts about aggregating data in R. In this post, I’m going to be trying some other alternative methods for aggregating the dataset. Before I begin, I’d like to thank Matthew Dowle for highlighting these to me. It’s a ... [Read more...]

Further Adventures in Visualisation with ggplot2

April 25, 2011 | hayward

So I previously took a look at some data of player performance from a computer game. In this post, I’m going to do some further visualisations using ggplot2. The data consists of different types of player character, different roles for those characters, and their overall damage output (the unit ... [Read more...]

Sexy, Geeky Graphs using ggplot2 in R

April 22, 2011 | hayward

So I’ve been looking for some data to play with while learning R, other than the data I’m analysing for various experiments and papers I’m working on. I thought to myself, “Hey, this R stuff is pretty geeky. Can I engage in a higher level of geekiness?” ... [Read more...]
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