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David Varadi have recently wrote two posts about Gini Coefficient: I Dream of Gini, and Mean-Gini Optimization. I want to show how to use Gini risk measure to construct efficient frontier and compare it with alternative risk measures I discussed previously. I will use Gini mean difference risk measure – the ... [Read more...]

Ed Chen is a data scientist at Twitter, so he's accustomed to working with big data and complex models. In an interview with MIT Technology Review, he describes his data science toolbox: A common pattern for me is that I'll code a MapReduce job in Scala, do some simple command-line ... [Read more...]

The NIH provides financial support for a large percentage of biological and medical research in the United States. This funding supports a large number of US jobs, creates new knowledge, and improves healthcare for everyone. So I am signing this petiti... [Read more...]

The forecast package uses the base R graphics for all plots, but some people may prefer to use the nice graphics available using the ggplot2 package. In the following two posts, Frank Davenport shows how it can be done: Plotting forecast() objects in ... [Read more...]

We are currently experiencing an extremely hot month in Montréal (and more generally in North America). Looking at people having a beer, and starting the first barbecue of the year, I was wondering: if we asked people if global warming was a good ... [Read more...]

I found out that last.fm had made data files available for their Best of 2011 artist list, and I thought it'd be a great opportunity to learn some more about data management in R and Ggplot2. [Read more...]

In my last post I presented a function for extracting data from a forecast() object and formatting the data so that it can be plotted in ggplot.  The scenario is that you are fitting a model to a time series object with training data, then forecas... [Read more...]

Registration is now open for R/Finance 2012 in Chicago, the conference devoted to applications of R in the financial sector. The program has also been announced, with topics including: modelling insurance claim reserves; risk management in power markets; peer performance of hedge funds; hedging event risk; operational risk measurement with ... [Read more...]

I have recently modified the basic workflow of my lab notebook since discovering knitr. Before, I would write code files which I could track on github, push figures created by the code to flickr, and then write a notebook entry on wordpress describing what I was doing. I’d embed ... [Read more...]

If you’re using base::plot in R for the first time (for example if you do plot(pima) or plot(faithful) (use ??pima if you can’t find the dataset)) you may have looked at ?plot (2 page help file) or ?par (12 page help file) to figure out what’s ... [Read more...]

Something about that cold weather... The number of internet users in the Nordic countries has greatly outpaced the world by comparison. Denmark, Iceland, Norway, Sweden, Finland - all in the elite echelon. These countries share a common ancestry -... [Read more...]

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The Biology Department at McGill University in Québec, Canada has been running a series of R workshops since 2010. Past topics have included Generalized Additive Models, Linear Mixed-effects Models and a four-part Intro to R series -- follow the links and look at the bottom of each page for some ... [Read more...]

After writing up my tutorial regarding getting WinBUGS running on a Mac in R, a friend sent me this fantastic simple tutorial on the same thing for OpenBUGS on a mac in R. So, for those that want it, install away! Looks a good bit simpler, actually! Tweet [Read more...]

I’m not always careful in citing all the R packages I use. R actually has some rather nice built-in mechanisms to support this, so I really have no excuse. Here’s some quick examples: To cite the ouch package in publications use: Aaron A. King and Marguerite A. Butler (2009), ... [Read more...]

Using R I'm doing a lot of simulations of the classic monty hall-problem and plotting multiple simulations using ggplot2. [Read more...]

The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full March edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Download Revolution R Enterprise, free ... [Read more...]

In the last post, Portfolio Optimization: Specify constraints with GNU MathProg language, Paolo and MC raised a question: “How would you construct an equal risk contribution portfolio?” Unfortunately, this problem cannot be expressed as a Linear or Quadratic Programming problem. The outline for this post: I will show how Equal ... [Read more...]

In my last blog I created a mechanism to fetch data from Salesforce using rJava and SOQL. In this blog I am going to use that mechanism to fetch ad campaign data from salesforce and predict future ad campaign sales using R Let us assume that Salesforce has campaign data ... [Read more...]