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Nothing looks funnier than a patchy simian. That's why we sighed a great sigh of relief when we spotted this article on the lubridate package in R. It saves a great deal of hair pulling.http://www.r-statistics.com/2012/03/do-more-with-dates-and-times... [Read more...]

On Tuesday, Eric Chi and Kenneth Lange arXived a paper on a comparison of numerical techniques for solving sudokus. (The very Kenneth Lange who wrote this fantastic book on numerical analysis.) One of these techniques is the simulated annealing approach I had played with a long while ago.  They seem ... [Read more...]

R has some very powerful built-in features for working with dates, times, and time-zones. But power and flexibility rarely correlate with ease-of-use, and this is no exception. The lubridate package comes to the rescue, make things a bit easier when working with chronological data in R. The paper Dates and ... [Read more...]

Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. ... [Read more...]

When I was searching for data about U.S prison population, for another post, I run across eurostat, a nice source for data to play around with. I pooled some numbers, specifically homicides recorded by the police. A panel data for … Continue reading → [Read more...]

We can add SAP to the list of vendors offering R integration with their products. InformationWeek reports that the new SAP BusinessObjects Predictive Analysis model provides a graphical user interface to R. Created in reaction to "competitive and market forces, including the momentum of open source R", the new module ... [Read more...]

I've recently become hooked on the TV series Downton Abbey. I'm not usually one for costume dramas, but the mix of fine acting, the intriguing social relationships, and the larger WW1-era story make for compelling viewing. (Also: Maggie Smith is a treasure.) Despite the widespread criticial acclaim, Downton has ... [Read more...]

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At the recent Big Data Workshop held by the Boston Predictive Analytics group, airline analyst and R user Jeffrey Breen gave a step-by-step guide to setting up an R and Hadoop infrastructure. Firstly, as a local virtual instance of Hadoop with R, using VMWare and Cloudera's Hadoop Demo VM. (This ... [Read more...]

I have previously described a few examples of portfolio construction: Introduction to Asset Allocation Maximum Loss and Mean-Absolute Deviation risk measures 130/30 Portfolio Construction Minimum Investment and Number of Assets Portfolio Cardinality Constraints Multiple Factor Model – Building 130/30 Index (Update) I created a number of helper functions to simplify process of making ... [Read more...]

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I wanted to write contingency tables in HTML with hwrite(). I realized that the method hwrite() does not exist for the table objects. I could use as.data.frame(), but the table produced is non-intuitive. I did a search on R-bloggers and I quickly found the solution to my problem: ... [Read more...]

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Lately I've been using Rob J Hyndman's excellent forecast package. The package comes with some built in plotting functions but I found I wanted to customize and make my own plots in ggplot. In order to do that, I need a generalizable function that will... [Read more...]

The slides and replay for Dr Sanjiv Das's webinar, Using R for Analyzing Loans, Portfolios and Risk: From Academic Theory to Financial Practice are now available. I've embedded the slides below: they tell a great story of how Das, after being mistaken for the then-CEO of Citibank (with whom he ... [Read more...]

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In case you missed them, here are some articles from February of particular interest to R users. February 29 marked the 12th anniversary of the release of R 1.0.0, and the release of R 2.14.2. A list of commercial vendors who have integrated R with their products for data, analysis, and presentation. The ... [Read more...]

Italy now has three local R user groups, thanks to the recent formation of MilanoR in the city of Milan. Founded by R consulting company Quantide's Andrea Spanò, R-core member and University of Milan professor Stefano Iacus, and quantitative consultant Daniele Amberti, MilanoR will be a forum to "exchange knowledge, ... [Read more...]