Removing Records by Duplicate Values
Removing records from a data table based on duplicate values in one or more columns is a commonly used but important data cleaning technique. Below shows an example about how...continue reading.
Category: R
Generalized Boosted Regression with A Monotonic Marginal Effect for Each Predictor
In the practice of risk modeling, it is sometimes mandatory to maintain a monotonic relationship between the response and each predictor. Below is a demonstration showing how to develop a...continue reading.
Fractional Logit Model with Python
In [1]: import pandas as pd In [2]: import statsmodels.api as sm In [3]: data = pd.read_table(‘/home/liuwensui/Documents/data/csdata.txt’) In [4]: Y = data.LEV_LT3 In [5]: X = sm.add_constant(data[[‘COLLAT1’, ‘SIZE1’, ‘PROF2’, ‘LIQ’,...continue reading.
Exchange Data between Python and R with SQLite
SQLite is a light-weight database with zero-configuration. Being fast, reliable, and simple, SQLite is a good choice to store / query large data, e.g. terabytes, and is well supported by...continue reading.
Portfolio Trading
In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number...continue reading.
Picturing Trees
In this post I like to illustrate the R package “ape” for phylogenetic trees for the purpose of assembling trees. The function read.tree creates a tree from a text...continue reading.
Download Stock Price Online with R
library(chron) library(zoo) # STOCK TICKER OF Fifth Third Bancorp stock <- ‘FITB’ # DEFINE STARTING DATE start.date <- 1 start.month <- 1 start.year <- 2012 # DEFINE ENDING DATE end.date...continue reading.
Fit and Visualize A MARS Model
################################################# ## FIT A MULTIVARIATE ADAPTIVE REGRESSION ## ## SPLINES MODEL (MARS) USING MDA PACKAGE ## ## DEVELOPED BY HASTIE AND TIBSHIRANI ## ##############################################…continue reading.
Learning Kernels SVM
Machine Learning and Kernels A common application of machine learning (ML) is the learning and classification of a set of raw data features by a ML algorithm or technique. In...continue reading.
Volatility and Correlation
The implied option volatility reflects the price premium an option commands. A trader’s profit and loss ‘P&L’ from hedging option positions is driven to a large extend by the actual...continue reading.
Measuring user retention using cohort analysis with R
Cohort analysis is super important if you want to know if your service is in fact a leaky bucket despite nice growth of absolute numbers. There’s a good write up...continue reading.
ggplot2 Time Series Heatmaps
How do you easily get beautiful calendar heatmaps of time series in ggplot2? E.g:From MarginTaleI was impressed by the lattice-based implementation from Paul Bleicher of Humedica, which you can find...continue reading.
Boxplots and Day of Week Effects
THIS BLOG DOES NOT CONSTITUTE INVESTMENT ADVICE. ACTING ON IT WILL MOST LIKELY BE DETRIMENTAL TO YOUR FINANCIAL HEALTH.After following some R-related quant finance blogs like Timely Portfolio, Systematic Investor or Quantitative tho…continue reading.
multi-platform real-time ‘intro’ in R using rdyncall
Guest post by Daniel Adler. Below is a real-time audio-visual multimedia demonstration – or in short ‘an intro’ – written in 100% pure R. It requires no compilation and runs...continue reading.
