Recently, while working on the Azure Data Lake R extension, I had to figure out a good way to create a zip file containing a package together with all its dependencies. This came down to understanding where does R store and search for packages. Despite the documentation, it did require additional reading and experimentation.
Category Archives: R
Coming back to markets and trading (after a while), the feeling has been that the markets, and the economy as a whole, are doing good. How good? Since I haven’t been following things closely, I had to do some forensics.
For quite some time now I have been using R’s caret package to choose the model for forecasting time series data. The approach is satisfactory as long as the model is not an evolving model (i.e. is not re-trained), or if it evolves rarely. If the model is re-trained often – the approach has significant computational overhead. Interestingly enough, an alternative, more efficient approach allows also for more flexibility in the area of model selection.
One approach to trading which has been puzzling me lately, is to sit and wait for opportunities. 🙂 Sounds simplistic, but it is indeed different than, for instance, the asset allocation strategies. In order to be able to even attempt taking advantage of these opportunities, however, we must be able to identify them. Once the opportunities are identified – we can try to explain (forecast) them using historical data.
Lately I have been doing calendar analysis of various markets (future contracts). Not an overly complicated task, but has a few interesting angles and since I haven’t seen anything similar on the Net – here we go.