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Processing nested lists

April 28, 2011 | Scott Chamberlain

So perhaps you have all figured this out already, but I was excited to figure out how to finally neatly get all the data frames, lists, vectors, etc. out of a nested list. It is as easy as nesting calls to the apply family of functions, in the case bel...

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Slightly Different Use of Ralph Vince’s Leverage Space Trading Model

April 28, 2011 | klr

In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...

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Can you do better than cap-weighted equity benchmarks?

April 28, 2011 | David Smith

We're on our way to Chicago for the annual conference for R users in Finance, R/Finance 2011. Revolution Analytics is proud to once again sponsor this conference, and during the sponsor lunch session at noon on Saturday, we're honoured to have Guy Yollin show how the big-data capabilities of Revolution ... [Read more...]

Data Aggregation in R: plyr, sqldf and data.table

April 28, 2011 | hayward

I’ve also previously put up a couple of posts about aggregating data in R. In this post, I’m going to be trying some other alternative methods for aggregating the dataset. Before I begin, I’d like to thank Matthew Dowle for highlighting these to me. It’s a ... [Read more...]

A test of Ledoit-Wolf versus a factor model

April 27, 2011 | Pat

Statistical factor models and Ledoit-Wolf shrinkage are competing methods for estimating variance matrices of returns. So which is better? This adds a data point for answering that question. Previously There are past blog posts on: the idea of variance matrices factor models of variance The data in this post are ... [Read more...]

A Tiny Model of Evolution

April 25, 2011 | ALT

I've always wanted to write a(n overly) simple model of evolution. The assumptions are minimalistic: only one species, for which each individual's genotype is represented as a one-dimensional real number, e.g. 7.4. Now, the fun stuff: I define a fu...

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Of Height and Speed in Tennis, or Fuzziness and Techiness in College

April 24, 2011 | ALT

I thought of this after reading this post and perhaps also this one, one the Cheap Talk blog. Here's the puzzle: in general, being tall does not make you slow; but among professional tennis players, the tall athletes do tend to be relativel...

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Logistic Regression & Factors in R

April 24, 2011 | ALT

Factors are R's enumerated type. Suppose you define the variable cities -- a vector of strings -- whose possible values are "New York," "Paris," "London" and "Beijing." Instead of representing each city as a string of characters, you might prefer to ...

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Thomas Bayes, 250 years later

April 21, 2011 | xi'an

A link on R-bloggers signaled a series of blogs and videos by IBM Netezza about Thomas Bayes and the consequences of his theorem. Which made me realise this was indeed the 250th anniversary of his death, and that maybe we (as a collective, incl. ISBA) should have done something on ... [Read more...]

(Almost) Friday Function: alarm

April 21, 2011 | richierocks

Last week I decided to start a weekly column detailing an interesting function each Friday, entirely forgetting that I would be on holiday, without internet access (shock horror!), tomorrow. So here’s your column a little early. The alarm function is something of a novelty, in that all it does ... [Read more...]

supercalifragilisticexpialidocious = 1

April 21, 2011 | richierocks

I notice that the latest version of R has upped the maximum length of variable names from 256 characters to a whopping 10 000! (See ?name.) It makes the 63 character limit in MATLAB look rather pitiful by comparison. Come on MathWorks! Let’s have the ability to be stupidly verbose in our variable ... [Read more...]

Non-standard assignment with getSymbols

April 21, 2011 | richierocks

I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod ... [Read more...]

Risk fraction constraints and volatility

April 21, 2011 | Pat

What is the effect on predicted and realized volatility of substituting risk fraction constraints for weight constraints? Previously This post depends on two previous blog posts: “Unproxying weight constraints” “Weight compared to risk fraction” The exact same sets of random portfolios are used in this post that were generated in ... [Read more...]

Day #27 A lot of graphics in one place

April 20, 2011 | Stageverloop Kris » R-En

assignment in R Today my internship-promotor gave me the assignment to create this chart in R. This means: I get a lot of data and put a certain column on a barchart for each plate. On top of that data, you place 2 errorbars. At first I thought, piece ... [Read more...]

ComputerWorld on R for data analysis and visualization

April 20, 2011 | David Smith

ComputerWorld's feature today, 22 free tools for data visualization and analysis, suggests open-source R as the third entry on the list: What it does: R is a general statistical analysis platform (the authors call it an "environment") that runs on the command line. Need to find means, medians, standard deviations, correlations? ... [Read more...]

New Favorite Test of US Monetary Policy Limits

April 20, 2011 | klr

After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield. Unfortunately, i...

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Attractive but hard-to-read graph could be made much much better

April 20, 2011 | Andrew Gelman

Matthew Yglesias shares this graph from the Economist: I hate this graph. OK, sure, I don't hate hate hate hate it: it's not a 3-d exploding pie chart or anything. It's not misleading, it's just extremely difficult to read. Basically,... [Read more...]

The R code for those time-use graphs

April 20, 2011 | Andrew Gelman

By popular demand, here's my R script for the time-use graphs:... [Read more...]

Transaction cost analysis and pre-trade analysis

April 20, 2011 | Dzidorius Martinaitis

Transaction cost analysis (TCA) is the framework to achieve best execution in trading context. TCA can be split into three groups: pre-trade analysis, intraday analysis, and post-trade measurement. Pre-trade analysis allows us to get insight about the future volatility of the price, forecast intra-day and daily volumes, market impact. It ... [Read more...]

Aggregate Function in R: Making your life easier, one mean at a time

April 20, 2011 | hayward

I previously posted about calculating medians using R. I used tapply to do it, but I’ve since found something that feels easier to use (at least to me). ?Download download.txt1 2 3 aggregated_output = aggregate(DV ~ IV1 * IV2, data=data_to_aggregate, FUN=median) aggregated_output The above code saves ... [Read more...]

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