Cash–Opportunity Lost or Opportunity Gained

November 7, 2012 | klr

Tom Brakke from wrote a great thought piece Cash as Trash, Cash as King, and Cash as a Weapon for the CFA Institute blog.  My favorite part comes in the last paragraph: “That’s the kind of analysis that should be br...
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Not Much of a Grand Finale. What if We Go To 0?

October 15, 2012 | klr

When I ask the question “What if the US 10 year goes to 0?", most do not know the effect, the catalyst, or if 0 has ever happened before.  The math is fairly simple to do in Excel or with an old-school calculator, but let’s use RQuantLib to do...
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Continuous dispersal on a discrete lattice

September 27, 2012 | Corey Chivers

Dispersal is a key process in many domains, and particularly in ecology. Individuals move in space, and this movement can be modelled as a random process following some kernel. The dispersal kernel is simply a probability distribution describing the distance travelled in a given time frame. Since space is continuous, ... [Read more...]

Russell 2000 Softail Fat Boy

August 31, 2012 | klr

If the Russell 2000 were a motorcycle, maybe it should be a Harley-Davidson Softail Fat Boy.  I have explored the exception case of the Russell 2000 in quite a few posts More Exploration of Crazy RUT Where are the Fat Tails? Crazy RUT but I st...
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48 Industries (Dendrogram Ordered) Over 50 Years

August 9, 2012 | klr

Thanks to reader AHWest for the comment on post 48 Industries Since 1963. “I think it would be interesting to see the industries ordered by some sort of similarity of returns.” I think this is a great suggestion, and I would like to see it also.&n...
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48 Industries Since 1963

August 7, 2012 | klr

Please see for all horizon plot posts. Once more thanks to Ken French for his data, we can accomplish something I think is fairly amazing.  In 640x800, we can see 250 day rollling return...
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Application of Horizon Plots

July 31, 2012 | klr

for background please see prior posts Horizon Plot Already Available and Cubism Horizon Charts in R Good visualization simplifies, and stories are better told with effective and pretty visualizations. Although horizon plots are not immediately intuitiv...
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Graphics Artifacts from Quarterly Commentary

July 2, 2012 | klr

For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...
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Horizon Plot Already Available

June 29, 2012 | klr

When I wrote Cubism Horizon Charts in R, I should have known that horizon plot functionality already exists in R and in this case in one of my already favorite packages latticeExtra...
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Cubism Horizon Charts in R

June 15, 2012 | klr

Like many, I have been in awe of the d3.js and cubism.js visualization packages created by Mike Bostock. Mike Bostock @ Square talks about Time Series Visualization from Librato on Vimeo. The charts are beautiful and extraordinarily functional, so I th...
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knitr Performance Report 4

June 8, 2012 | klr

please see knitR Performance Report 3 (really with knitr) and dprint, knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Here is another iteration of the ongoing performance reporting attempt...
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Evaluation of Tactical Approaches

June 8, 2012 | klr

Tactical approaches are often chosen based on the best cumulative return which implicitly incorporates significant hindsight bias.  Just because an approach dominates for a period of time does not indicate that it will be the best approach.  ...
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knitr Performance Report-Attempt 2

April 18, 2012 | klr

Over the years I have changed my learning process from reading thoroughly first before proceeding to reading minimally and then applying immediately.  I very quickly see the gaps in my knowledge.  This method is far more painful but seems to ...
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knitr Performance Report-Attempt 1

April 13, 2012 | klr

I get very excited about new R packages, but rarely is my excitement so fulfilled as with knitr.  Even with no skill, I have already been able to adapt the example Yihui Xie provides in his knitr Graphics Manual into a crude first version of a per...
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How to plot lattice and ggplot2 graphs with FastRWeb

April 10, 2012 | ronan

With print() If you are an advanced R user, you probably know the lattice and the ggplot2 packages. They allow you to plot elegant graphics with less code (Hocking, 2009 and Sueur, 2010). If you know these two packages, you should hardly use plot() for your graphs. If you read my article ... [Read more...]
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