I have discussed Volatility Position Sizing in the Volatility Position Sizing to improve Risk Adjusted Performance post using the Average True Range (ATR) as a measure of Volatility. Today I want show how to use historical volatility to adjust portfolio leverage. Let’s start with Buy and Hold strategy using ... [Read more...]

Hollywood movies are obsessed with outrunning explosions and outrunning crashing alien spaceships. For explosions the movies give the optimal (but unusable) solution: run straight away. For crashing alien spaceships they give the same advice, but in this case it is wrong. We demonstrate the correct angle to flee. Running from ... [Read more...]

[Read more...]

Once again working on my slides for the AMSI Lecture 2012 tour, it took me a while to get the following LaTeX code (about the family reunion puzzle) to work: \begin{frame}[fragile,label=notleM2] \slidetitle{A family meeting} \begin{block}{Random switch of couples} \only{ \begin{itemize} \item Pick two ... [Read more...]

We're definitely in the age of Big Data: today, there are many more sources of data readily available to us to analyze than there were even a couple of years ago. But what about extracting useful information from novel data streams that are often noisy and minutely transactional ... aye, there's ... [Read more...]

I have a little delinquent on this whole blogging thing but here is a talk I gave to the DC R Group. On a twisted and Rpy2 web application framework that I built for my company. Enjoy http://bit.ly/NW0Neg J [Read more...]

This past week for work I had to create some plots to show the max, min, and median of a measure across the levels of a qualitative variable, and show the max and min of the same variable within a … Continue reading → [Read more...]

The eight problem of Project Euler: Find the greatest product of five consecutive digits in the 1000-digit number. … The solution is as straightforward as the problem, although the 1000-digit number needs some format changes before product calculation. ?View Code … Continue reading → [Read more...]

After scanning this paper by Zeileis, Leitner & Hornik, I thought it would be interesting to see how the victory odds for each team changes as Euro 2012 progresses. To do this, I am going to collect the daily inverse odds of a tournament victory offered by a popular betting site for ... [Read more...]

[Read more...]

[Read more...]

Earlier this week, Revolution Analytics' Joe Rickert gave a webinar Introduction to R for Data Mining. You can watch the replay below: If you're already familiar with R and the basics of data mining, you might want to skip ahead to the 13-minute mark where Joe's live demo begins. There ... [Read more...]

[Read more...]

I fought with my LαTεX compiler this morning as it did not want to deal with my code: looking on forums for incompatibilities between beamer and algorithmic, and adding all kinds of packages, to no avail. Until I realised one \STATE was missing: (This is connected with my ... [Read more...]

The program of the first R meeting that will be held in Bordeaux (France), the 2nd and 3rd of July, is now available at http://r2012.bordeaux.inria.fr/programme.html. It includes special sessions about mixed models, visualization, classification, data ... [Read more...]

On June 29, the Royal Statistical Society will host six hours of presentations about R, under the banner "To R, or not to R, that is the question". Speakers include R Core member Prof Uwe Ligges, Dr Wayne Jones (from Shell UK), and Dr Peter Nash (from Imperial College London), among ... [Read more...]

[Read more...]

A few more comments on the specific entry on ABC written by Mikael Sunnåker et al…. The entry starts with the representation of the posterior probability of an hypothesis, rather than with the posterior density of a model parameter, which seems to lead the novice reader astray. After all, (... [Read more...]

I recently finished a long stretch of work on a particular project that required me to draw upon four R packages.  Each time I got back to my work on the project, I’d have to load the packages manually, as … Continue reading → [Read more...]

[Read more...]