## Volatility Position Sizing 2

June 12, 2012
By

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 SPY and rescale it to the [...]

## Transforming subsets of data in R with by, ddply and data.table

June 12, 2012
By

Transforming data sets with R is usually the starting point of my data analysis work. Here is a scenario which comes up from time to time: transform subsets of a data frame, based on context given in one or a combination of columns. As an example I use...

## \verbatim [beamer package]

June 11, 2012
By

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<1>{ \begin{itemize} \item Pick two couples [among the 20 couples] at random with probabilities proportional to the [...]

## Convergence Monitoring for Non-Identifiable and Non-Parametric Models

June 11, 2012
By
$Convergence Monitoring for Non-Identifiable and Non-Parametric Models$

Becky Passonneau and colleagues at the Center for Computational Learning Systems (CCLS) at Columbia have been working on a project for ConEd (New York’s major electric utility) to rank structures based on vulnerability to secondary events (e.g., transformer explosions, cable meltdowns, electrical fires). They’ve been using the R implementation BayesTree of Chipman, George and McCulloch’s [...]

## Stratified Sampling for Oversampling Small Sub-Populations

June 11, 2012
By

How to do it In stratified sampling, the population is divided into different sub-groups or strata, and then the subjects are randomly selected from each of the strata. So, in the above example, you would divide the population into different linguistic sub-groups (one of which is Yiddish speakers). Here are two simple steps you should follow:

## FoodMood: Measuring Global Food Sentiments via Twitter

June 11, 2012
By

FoodMood [foodmood.in] by Affect Lab, Ai Applied and Jana + Koos aims to communicate a better understanding of global food consumption patterns and their impact on the daily emotional well-being of people. The treemap captures, in real-time, the foo...

## Chris Volinsky knows where you are

June 11, 2012
By

Chris Volinsky knows where you are: An interesting article on how AT&T is using cell phone location data for urban planning and other purposes.

## Chris Volinsky knows where you are

June 11, 2012
By

Chris Volinsky knows where you are: An interesting article on how AT&T is using cell phone location data for urban planning and other purposes.

## The HaploREG Database for Functional Annotation of SNPs

June 11, 2012
By

The ENCODE project continues to generate massive numbers of data points on how genes are regulated.  This data will be of incredible use for understanding the role of genetic variation, both for altering low-level cellular phenotypes (like gene ...

## The unitary nature of consciousness: “It’s impossible to be insanely frustrated about 2 things at once”

June 11, 2012
By

Dan Kahan writes: We all know it’s ridiculous to be able to go on an fMRI fishing trip & resort to post hoc story-telling to explain the “significant” correlations one (inevitably) observes (good fMRI studies *don’t* do this; only bad ones do– to the injury of the reputation of all the scholars doing good studies [...]

## NComVA User Meeting 2012

June 11, 2012
By

NComVA User Meeting 2012The 2nd international NComVA user meeting took place during two days 22-23 may at the Louis De Geer conference centre in Norrköping, Sweden, attended by more than 50 users arriving from all over the world. In the evening we min...

## Simulating Euro 2012

June 11, 2012
By

Why settle for just one realisation of this year’s UEFA Euro when you can let the tournament play out 10,000 times in silico? Since I already had some code lying around from my submission to the Kaggle hosted 2010 Take on the Quants challenge, I figured I’d recycle it for the Euro this year. The

## Getting a grant…or a startup

June 11, 2012
By

Y Combinator is company that invests in startups and brings them to the San Francisco area to get them ready for prime time. One of the co-founders is Paul Graham, whose essays we’ve featured on this blog. The Y Combinator web site itself is quit...

## Getting a grant…or a startup

June 11, 2012
By

Y Combinator is company that invests in startups and brings them to the San Francisco area to get them ready for prime time. One of the co-founders is Paul Graham, whose essays we’ve featured on this blog. The Y Combinator web site itself is quit...

## Trains of Data: Visualizing France’s High Speed Railway Network

June 11, 2012
By

The MIT Senseable City Lab has collaborated with SNCF, France's national state-owned railway company, to develop Trains of Data" [senseable.mit.edu]: 2 unique visualizations of the actual performance of their high speed railway system. The "Trains i...

## List of Influences: Nigel Holmes

June 11, 2012
By

Few people have influenced the face of information graphics like Nigel Holmes. I am honored to not only present his very extensive and detailed list of influences here, but also do so on the occasion of his upcoming 70th birthday on June 15, 2012. Nigel Holmes has recently been the subject of discussions in information visualization because of the role and potential benefit of chart junk. His work has been…

## Sunday data/statistics link roundup (6/10)

June 10, 2012
By

Yelp put a data set online for people to play with, including reviews, star ratings, etc. This could be a really neat data set for a student project. The data they have made available focuses on the area around 30 universities. My alma mater is one o...

## Sunday data/statistics link roundup (6/10)

June 10, 2012
By

Yelp put a data set online for people to play with, including reviews, star ratings, etc. This could be a really neat data set for a student project. The data they have made available focuses on the area around 30 universities. My alma mater is one o...

## Lies and statistics

June 10, 2012
By

One of the most famous sayings about statistics is the line: “There are three types of lies, lies, damned lies and statistics.” This was stated by author Mark Twain (Samuel Clements)  and quoted by British statesman Benjamin Disraeli.  There is … Continue reading →

## Rcpp vs. R implementation of cosine similarity

June 10, 2012
By

While speeding up some code the other day working on a project with a colleague I ended up trying Rcpp for the first time. I re-implemented the cosine distance function using RcppArmadillo relatively easily using bits and pieces of code I found scatter...

## NBA Playoffs Update 5 (5-4)

June 9, 2012
By

This is the sixth post in my series on predicting the NBA playoffs with an algorithm. After the Boston loss in their last game, the algorithm is now 5-4 in the playoffs. Hopefully it is correct tonight! Open Sourcing the CodeI have had a couple of re...

## Cognitive psychology research helps us understand confusion of Jonathan Haidt and others about working-class voters

June 9, 2012
By

Here’s some psychology research that’s relevant to yesterday’s discussion on working-class voting. In a paper to appear in the journal Cognitive Science, Andrei Cimpian, Amanda Brandone, and Susan Gelman write: Generic statements (e.g., “Birds lay eggs”) express generalizations about categories. In this paper, we hypothesized that there is a paradoxical asymmetry at the core of [...]

## A new approach to discover pain related genes

June 8, 2012
By

Our latest paper in PLoS Computational Biology is out.The project spanned over 2 years starting at the end of my first year of postdoctoral training until now. It has been a truly collaborative endeavor across institutions but also across sub-disciplin...