Publications by DomPazz
Performance with foreach, doSNOW, and snowfall
Is it just me, or does the performance of the foreach package with a doSNOW backend operating on a socket grid suck?Here at work, I am helping to setup a cluster of Windows machines for distributed R processing. We have lots of researchers running code that takes hours to complete and are essentially large for loops with lots of ana...
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Comparing performance in R, foreach/doSNOW, SAS, and NumPY (MKL)
This is a follow up to my previous post. There is a quicker way to compute the function I created (basic cumulative sum) in R.Instead of:function f(x) { sum = 0; for (i in seq(1,x)) sum = sum + i return(sum)}Use this:f2 = function(x){ return(sum(seq(x)))}If I time it, we see:system.time( (out = apply(as.array(seq(10...
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Minimum Expected Shortfall Portfolio, Part 1
A few days ago, I wrote a piece on finding the minimum expected shortfall portfolio. A few astute commenters quickly picked up where I was going with this — using this as an alternative to low/minimum volatility portfolios. What follows are the results of a small study I put together. This post will deal with the portfolio selection and ...
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Minimum Expected Shortfall, Part 2
Previously, we setup the problem of constructing a minimum expected shortfall portfolio. We exported the portfolio weights from each quarterly rebalancing into R objects. This post will process those weights and compare the portfolio statistics to a cap-weight portfolio, a minimum variance portfolio, an equal weight portfolio, the DIA ETF, a...
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Merging Data — SAS, R, and Python
On analyticbridge, the question was posed about moving an inner join from Excel (which was taking many minutes via VLOOKUP()) to some other package. The question asked what types of performance can be expected in other systems. Of the list given, I have varying degrees of experience in SAS, R, and Python.In the question, the user ...
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The Overlap Coefficient
I’m currently working with a client who is researching best covariance matrices for financial time series. Specifically, they are looking at what best describes 1 month out of sample distributions. They are not concerned with the means, just the variance.A paper on the subject from the Journal of Portfolio Management — “A Te...
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