Posts Tagged ‘ R Language ’

What the hell is a variance matrix?

August 25, 2010
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What the hell is a variance matrix?

When I first came to finance, I kept hearing about “risk models”. I wondered, “What the hell is a risk model?” Of course, I didn’t say this out loud — that would have given the game away.  My wife has strict instructions that she is to be the only one to know that I’m an … Continue reading...

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Auto-completion in Notepad++ for R Script

August 14, 2010
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Auto-completion in Notepad++ for R Script

Auto-completion is fancy in a text editor. Notepad++ does not support auto-completion for the R language, so I spent a couple of hours on creating such an XML file to support R: Put it under ‘plugins/APIs‘ in the installation directory of Notepad++ (you can see several other XML files there supporting different languages such as

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My Talk on Animations at useR! 2010 (NIST, Gaithersburg)

July 21, 2010
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My Talk on Animations at useR! 2010 (NIST, Gaithersburg)

As every useR knows, the useR! 2010 conference is being held at NIST in Gaithersburg these days. I have just finished my talk on the R package animation this afternoon. Here are my slides and R code for those who are interested: Have fun, even if you are a PhD! Related Postsalphahull: an R Package

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R is an Epic Fail?

April 15, 2010
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I came across this blog post just now: The Next Big Thing, and of course these words caught my attention: However, for me personally and for most users, both individual and organizational, the much greater cost of software is the time it takes to install it, maintain it, learn it and document it. On

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R package Blotter

April 6, 2010
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R package Blotter

How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. In really – it is complicated. I

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Rules of Thumb to Meet R Gurus in the Help List

April 5, 2010
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Here is my personal list of rules of thumb for people who want to meet some R gurus (quickly) in the R help mailing list ([email protected]): If you want to meet Dr Bill Venables, just say something about Type III Sum of Squares (better if you also mention the “unbeatable” SAS); If you want to

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Predicting April month return

March 31, 2010
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Predicting April month return

Bespoke blogged about average monthly returns of the DJI and emphasized April. Before jumping on that information, let’s check some weak points. In that post, only average returns are presented. We need at least extreme points (min;max) and confidence ranges. Second problem – the normal market have upward trend and we need to get rid of

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Looking for Software Paths in Windows Registry

March 28, 2010
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Looking for Software Paths in Windows Registry

hen we want to call external programs in R under Windows, we often need to know the paths of these programs. For instance, we may want to know where ImageMagick is installed, as we need the convert (convert.exe) utility to convert images to other formats, or where OpenBUGS is installed because we need this path

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A Demo for the Ratio Estimation in Sampling Survey (Animation)

March 24, 2010
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A Demo for the Ratio Estimation in Sampling Survey (Animation)

mber Watkins gave me a suggestion on the animation for the ratio estimation, and I think this is a good topic for my animation package. I’ve finished writing the initial version of the function sample.ratio() for this package, which will appear in the version 1.1-2 a couple of days later. As we know, the benefit

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Returns on Easter week and one week after

March 21, 2010
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Returns on Easter week and one week after

Inspired by CXO group report, I did a rerun of the same strategy on my data. Easter’s dates can be find at wikipedia. Overall, my results are similar to CXO group’s results. In the graph below, I plotted daily returns on Easter week (Monday to Thursday) from 1982 to 2009. I prefer this way of showing

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