2017年04月_RoQuant

转载 Maximum Adverse Excursion and Maximum Favorable Excursion

Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE) are trading concepts first developed by John Sweeney in 1985, and later popularized in his 1997 book Maximum Adverse Excursion:

2017-04-27 21:30:00 909

转载 An example of a trading strategy coded using Quantmod Package in R

Back-testing of a trading strategy can be implemented in four stages.Getting the historical dataFormulate the trading strategy and specify the rulesExecute the strategy on the historical dataEvalu

2017-04-27 15:37:19 601

转载 Quant finance blogs

What I’ve learned from updating the blogroll.New entriesThe easy option is to go to The Whole Street which aggregates lots of quant finance blogs.Somehow Bookstaber missed out being on the b

2017-04-27 15:34:38 957

转载 The tidy tools manifesto

Hadley Wickham2017-01-27This document lays out the consistent principles that unify the packages in the tidyverse. The goal of these principles is to provide a uniform interface so that tidyve

2017-04-25 09:56:58 318

转载 RcppQuantuccia 0.0.1

(This article was first published on Thinking inside the box , and kindly contributed to R-bloggers)ShareTweetNew package! And, as it happens, a effectively a subset or variant of one my

2017-04-25 09:49:46 296

转载 Release ‘open’ data from their PDF prisons using tabulizer

(This article was first published on rOpenSci Blog, and kindly contributed to R-bloggers)ShareTweetThere is no problem in science quite as frustrating as other peoples' data. Whether it's

2017-04-25 09:32:52 530

转载 Logistic regressions (in R)

(This article was first published on R – Locke Data, and kindly contributed to R-bloggers)294SHARESShareTweetLogistic regressions are a great tool for predicting outc

2017-04-25 09:12:01 395

转载 Programming over R

(This article was first published on R – Win-Vector Blog, and kindly contributed to R-bloggers)138SHARESShareTweetR is a very fluid language amenable to meta-programming, or altera

2017-04-25 09:08:22 310

转载 Explaining complex machine learning models with LIME

(This article was first published on Shirin's playgRound, and kindly contributed to R-bloggers)272SHARESShareTweetThe classification decisions made by machine learning models are usu

2017-04-25 08:57:45 920

转载 Tips on non-standard evaluation in R

https://renkun.me/blog/2014/12/03/tips-on-non-standard-evaluation-in-r.htmlOne of my favorite features of R is its meta-programming facilities. It can be simply demonstrated by the following

2017-04-24 21:23:58 388

转载 Data frame performance

One of the reasons that dplyr is fast is that it’s very careful about when to make copies. This section describes how this works, and gives you some useful tools for understanding the memory usage of

2017-04-24 15:30:50 356

转载 What exactly is copy-on-modify semantics in R, and where is the canonical source?

http://stackoverflow.com/questions/15759117/what-exactly-is-copy-on-modify-semantics-in-r-and-where-is-the-canonical-source

2017-04-24 11:40:07 399

转载【R Special】Copy-on-Modify机制及R性能优化第一步

周日应邀在第六届R会议做了一个R工程实践的topic，聊了聊自己在实际工作中使用R碰到的坑。由于我的讲稿一向很简单，怕别人拿到后看起来吃力。而Copy-on-Modify又是万坑之源，一种原罪级别的存在，感觉有必要拿出来单独说说，以帮助R的新手了解自己的代码为什么慢，以及解决这个问题的第一步方案是什么。之所以只说第一步，是因为这一步是普适的，也是能给人带来极大思维乐趣的。后续的优化步骤因案例而变，

2017-04-24 11:21:00 607

转载聪明贝塔(Smart Beta)

伍治坚:聪明贝塔(Smart Beta)聪明贝塔（Smart Beta）是最近几年投资界比较引人注目的一个热门话题。今天就专门来讲讲这个聪明贝塔。在这里我要提醒一下读者，这篇文章的内容稍微有点偏金融专业。如果读者朋友们不是金融背景出身，可能会碰到一些不太熟悉的概念和术语。但是你也不用太害怕，在这些专业术语的背后，其逻辑并不复杂。我会尽量用简单易懂的语言来把这个问题说清楚

2017-04-21 14:39:10 2006

转载 Namespaces and name conflicts

R packages ‘igraph’ and ‘network’ are good examples of two R packages providing similar but complementary functionalities for which there are a lot of name conflicts. As for now the ‘igraph’ package h

2017-04-20 15:10:24 544

转载 How R Searches and Finds Stuff

Or…How to push oneself down the rabbit hole of environments, namespaces, exports, imports, frames, enclosures, parents, and function evaluation?MotivationThere are a few reasons to bother

2017-04-19 14:47:17 760

转载 ID3 Classification using data.tree

IntroductionAbout this vignetteWhat is ID3?Feature SelectionPurity and EntropyInformation GainThe ID3 algorithmPseudo codeImplementation in R with the data.tree packageTraining with da

2017-04-19 11:35:51 439

转载 R’s Scoping

By Breckbaldwin[Update: 10 September 2010 I didn’t study Radford Neal’s example closely enough before making an even bigger mess of things. I’d like to blame it on HTML formatting, which garbled R

2017-04-18 17:46:53 1155

转载 Changing function scope in GNU R example

In my last post I have discussed how to work around GNU R scoping rules using environment function. This time let us look at a practical example using recode function from car package.First let

2017-04-18 17:40:02 280

转载 Emulating dynamic scoping in GNU R

By design GNU R uses lexical scoping. Fortunately it allows for at least two ways to simulate dynamic scoping.Let us start with the example code and next analyze it:x “global”f1 function() c

2017-04-18 17:24:13 372

转载 Metropolis-Hastings MCMC algorithms

BackgroundOver the next few months I’m intending to have a series of posts on recent developments in MCMC and algorithms of Metropolis-Hastingstype. These posts will assume a basic familiarity

2017-04-15 20:56:49 1292

转载 Books on Scala for statistical computing and data science

IntroductionPeople regularly ask me about books and other resources for getting started with Scala for statistical computing and data science. This post will focus on books, but it’s worth briefly

2017-04-15 18:10:25 1284

转载 Lexical scope and function closures in R

IntroductionR is different to many “easy to use” statistical software packages – it expects to be given commands at the R command prompt. This can be intimidating for new users, but is at the hear

2017-04-14 22:24:31 348

转载学习C语言的教材

作者：阮一峰日期： 2011年9月18日我的C语言是自学的，这些年看过不少教材。下面，我对其中一些教材做个点评。1. How to Think Like a Computer Scientist: C version这是我读过最易懂的C语言教材。虽然它只讲解最基本的语法，但是写得特别好懂，深入浅出，读起来不觉得累，而且它还允许免费下

2017-04-07 15:00:33 904

四纪启悟 · 数据科学