# lattice

### Cash–Opportunity Lost or Opportunity Gained

November 7, 2012 |

Tom Brakke from http://researchpuzzle.com/ 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...

### Plotting large amounts of atmospheric data

November 4, 2012 |

Plotting large amounts of hourly atmospheric data body, td { font-family: sans-serif; background-color: white; font-size: 12px; margin: 8px; } tt, code, pre { font-family: 'DejaVu Sans Mono', 'Droid Sans Mono', 'Lucida Console',... [Read more...]

### Japanese Government Bond (JGB) Data Since 1974

October 16, 2012 |

The Ministry of Finance Japan very generously provides data on JGBs back to 1974.  Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):

### Not Much of a Grand Finale. What if We Go To 0?

October 15, 2012 |

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...

### Continuous dispersal on a discrete lattice

September 27, 2012 |

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 |

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...

### 48 Industries (Dendrogram Ordered) Over 50 Years

August 9, 2012 |

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...

### “Trend is Not Your Friend” Applied to 48 Industries

August 8, 2012 |

Please see previous post Crazy RUT in Academic Context Why Trend is Not Your Friend. I’ll repeat the intro to the post mentioned above, so we can all get caught back up. In response to Where are the Fat Tails?, reader vonjd very helpfully referred me...

### 48 Industries Since 1963

August 7, 2012 |

Please see http://timelyportfolio.blogspot.com/search/label/horizonplot 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...

### Application of Horizon Plots

July 31, 2012 |

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...

### The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

July 24, 2012 |

US investors were spoiled by US Treasuries which acted as a near perfect hedge to stocks during the 2008-2009 crisis.  However, in real crisis, bonds rarely offer any comfort, and asset allocation fails (see post Death Spiral of a Country and IMF ...

### Graphics Artifacts from Quarterly Commentary

July 2, 2012 |

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...

### Horizon Plot Already Available

June 29, 2012 |

When I wrote Cubism Horizon Charts in R, I should have known that horizon plot functionality already exists in R http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=latticeExtra:horizonplot and in this case in one of my already favorite packages latticeExtra...

### Cubism Horizon Charts in R

June 15, 2012 |

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...

### knitr Performance Report 4

June 8, 2012 |

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...

### Evaluation of Tactical Approaches

June 8, 2012 |

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.  ...

### Waterfall charts in style of The Economist with R

May 7, 2012 |

Waterfall charts are sometimes quite helpful to illustrate the various moving parts in financial data, in particular where I have positive and negative values like a profit and loss statement (P&L). However, they can be a bit of a pain to produce in Ex...

### knitr Performance Report-Attempt 2

April 18, 2012 |

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 ...

### knitr Performance Report-Attempt 1

April 13, 2012 |

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...