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Imagine you’re picking from 1,000 money managers. If you test just one, there’s a 5% chance you might wrongly think they’re great. But test 10, and your error chance jumps to 40%. To keep your error rate at 5%, you need to control the “family-wise error rate.” One method is to set ... [Read more...]

For whatever reason, clipboard functionalities from Rython are under-utilized. One utility function for reversing backslashes is found here. This post demonstrates how you can use the clipboard to circumvent saving and loading files. It’s convenient for when you just want the quick insight or visual, rather than a full-blown ... [Read more...]

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Here is a small utility function to save you some boring work. Say you have a file to read into R. The file path is C:\Users\folder1\folder2\folder3\mydata.csv. So what do you do? you copy the path, paste it to the editor, and start reversing the ... [Read more...]

Enough! Enough with that pointless R versus Python debate. I find it almost as pointless as the Bayesian vs Frequentist “dispute”. I advocate here what I advocated there (“..don’t be a Bayesian, nor be a Frequenist, be opportunist“). Nowadays even marginally tedious computation is being sent to faster, minimum-overhead ... [Read more...]

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Courtesy of R Consortium, you can view my forecast combination talk (16 mins) given in France few months ago, below. The slides for talk and the paper it’s based on can be found here Related posts: Forecast Combination in R – slides The useR! 2019 held in Toulouse ended couple of days... ... [Read more...]

The useR! 2019 held in Toulouse ended couple of days ago. I spoke of the recent R journal publication about forecast combinations (joint work with Christoph Weiss and Gernot Roetzer). Slides for the talk can be found here. Related posts: R Journal publication The R Journal is the open access, refereed ... [Read more...]

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A higher-order function is a function that takes one or more functions as arguments, and\or returns a function as its result. This can be super handy in programming when you want to tilt your code towards readability and still keep it concise. Consider the following code: [crayon-5c4dddebcccbf005402937/] ... [Read more...]

Reproducible Finance with R is a clever book, with modern treatment of classical concepts. Here below is what I liked- and disliked about the book. Back when I was practicing Judo, there was a guy in my group who mastered that one exercise (called Uchi Mata). He could go fighting 20 ... [Read more...]

The R language has some quirks compared to other languages. One thing which you need to constantly watch for when moving to- or from R, is that R starts its indexing at one, while almost all other languages start indexing at zero, which takes some getting used to. Another quirk ... [Read more...]

The yearly R in Finance conference is one of my favorites: 1. Titans of the R community are there every year. This year the founder of Rstudio (but much more really), JJ Allaire was a keynote speaker. He gave a talk about Machine Learning with TensorFlow and R. 2. Single track. I ... [Read more...]