Which way do you prefer to learn a new material – deep theoretical background first and practice later or do you like to break things in order to fix them? If latter is your way of learning things, then most likely you will enjoy Machine Learning for Hackers. The book has ... [Read more...]

People go on rage, when governments initiate surveillance projects like CleanIT, nevertheless share very private data without a doubt. I have to admit, that some data leaks are well buried in the process. Take for example Garmin which produces GPS training devices for runners. In order to see your workouts ... [Read more...]

R language has numerous IDEs – RStudio, Vim plugin, Eclipse plugin. RStudio really shines for R language, nevertheless Vim plugin might be well adapted for R if you are Vim guru. Eclipse? Who needs such behemoth? Turns out a student in Ljubljana badly needs it. Most of the time I use ... [Read more...]

If you need to build a presentation, obviously you have following options: Powerpoint alike presentation Online engines LaTex The first two are beloved by business people and the third one is widely used in academia. The objective of the first group is shiny presentation, contrary to the second where asceticism ... [Read more...]

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In preparation for “Haxogreen” hackers summer camp which takes place in Luxembourg, I was exploring network security world. My motivation was to find out how data mining is applicable to network security and intrusion detection. Flame virus, Stuxnet, Duqu proved that static, signature based security systems are not able to ... [Read more...]

For me Kaggle becomes a social network for data scientist, as stackoverflow.com or github.com for programmers. If you are data scientist, machine learner or statistician you better off to have a profile there, otherwise you do not exist. Nevertheless, I won’t bet on rosy future for data ... [Read more...]

Few weeks ago GitHub announced, that its timeline data is available on bigquery for analysis. Moreover, it offers prizes for the best visualization of the data. Despite my art skills and minimal chances to win beauty contest, I decided to crunch GitHub data and run data analysis. After initial trial ... [Read more...]

There are plenty of data on internet, however it is raw data. Think for a second about public surveillance cameras - useful to check the traffic on the route or busy place, but anything else? What if you want to know how many cars are on the route? How many ... [Read more...]

The first thing, what you have to do is to estimate how many users will be interested in local R group. I would say, that out of one million inhabitants you can expect 10-20 users. Based on this raw number, you can know, what challenges are waiting for you. If ... [Read more...]

At work, the client requested, if existing search engine could accept singular and plural forms equally, e. g. “partner” and “partners” would lead to the same result. The first option – stemming. In that case, search engine would use root of a word, e. g. “partn”. However, stemming has many weaknesses: ... [Read more...]

In the previous post I shared an example how to get high frequency data from IB broker (well, it is retail version of HFD – it has only best bid/ask and the trades). Now, once you saved some data – what should you do next? Next logical step would be data ... [Read more...]

Are you looking for ways how to save real time, high frequency data taken from Interactivebrokers.com API ? I built an example in C++ which saves all incoming data in Mongodb. Check this link if you are interested: https://github.com/kafka399/TwsMongo   [Read more...]

Today is Lithuania’s independence day and I have created R user group in Lithuania – VilniusR. If you are near by please follow the link, sign up and I hope that we will have a meeting soon. [Read more...]

In my previous post, I tried to show, that Rcpp is 1000 faster than pure R and that generated the fuss in the comments. Being lazy, I didn’t vectorize R code and at the end I was comparing apples vs oranges. To fix that problem, I built a new script, ... [Read more...]

While ago I built two R scripts to track OMX Baltic Benchmark Fund against the index. One script returns the deviation of  fund from the index and it works fast enough. The second calculates the value of the fund every minute and it used to take for while. For example, ... [Read more...]

For those who did not know, Stanford university offered free off charge 3 courses at beginning of the autumn. It is kind of shocking – US based institution offers education for free! Take any socialism oriented country and one of the promises is education for free. But it seems, that the argument ... [Read more...]

During the summer I was contacted by a hedge fund from Bahamas. The fund was looking for someone with R language skills on-site and insisted for phone interview. Besides obvious questions about finance, statistics, coding and how many tennis balls can fit in Boeing 747 (ok, this question was omitted), they ... [Read more...]

When dealing with transaction cost analysis, a stock’s volume is assumed to be stable or foreseeable.  However, there is different picture, then we are dealing with an illiquid stock. It is relatively easy to forecast the volume of a liquid stock, because trading volume has high autocorrelation – the volumes ... [Read more...]

I will be giving a presentation on “Optimal transaction cost” in Vilnius on  16  August. While preparing the presentation and looking for an optimal execution solution, a natural question arises: does the size of the trade affect stock market price? I’m sure, you would say 100 % yes. Well, you would be ... [Read more...]