Publications by "We think therefore we R"
Calculate LCM of ‘n’ consecutive natural numbers using R
Well I shall hit the nail right on the head and not beat around the bush. I am taking programming lessons on R from my pro bro(Utkarsh Upadhyay) who agreed on teaching me only if I would disseminate my learning(a paranoia all the open-source advocates share). Hence I shall populate the web with another link, which might help other dumb programmer...
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Simple plot using R
As a task for my Financial eco assignment I had to plot a simple time series of the overnight MIBOR(Mumbai interbank offer rates) for the past one year . The job could very well have been done easily in MS-Excel but I choose to plot it in R instead and the quality of the graph, pixel-wise and neatness wise, was way better than what I could have ...
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Simple time series plot using R : Part 2
I would like to share my experience of plotting different time series in the same plot for comparison. As an assignment I had to plot the time series of Infant mortality rate(IMR) along with the SOX emission(sulphur emission) for the past 5 decades in the same graph and compare how the intensities have been varying in the past 5 decades.Well to s...
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Principal component analysis : Use extended to Financial economics : Part 1
While working for my Financial economics project I came across this elegant tool called Principal component analysis (PCA)which is an extremely powerful tool when it comes to reducing the dimentionality of a data set comprising of highly correlated variables. This tool finds majority application in genetic research, which deals with data sets hav...
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Predictability of stock returns : Using runs.test()
Financial market is interesting place, you find people taking positions (buying/selling) based on their expectations of what the security prices would be and are rewarded/penalized according to the accuracy of their expectations. The beauty of financial markets is that it provides a platform for everyone to come in with their respective expectati...
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Principal component analysis : Use extended to Financial economics : Part 2
My previous post talked about how we can employ PCA on the data for multiple stock returns to reduce the number of variables in explaining the variance of the underlying data. But the idea was greeted with skepticism by many. A caveat to the application of PCA was that the meaning or the intuition behind the variable is lost in the computation of...
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Predictability of stock returns : Using acf()
In my previous post, I employed a rather crude and non-parametric approach to see if I could predict the direction of stock returns using the function runs.test(). Lets go a step further and try modelling this with a parametric econometric approach. The company that I choose for the study is INFOSYS (NSE code INFY). Lets start by eyeballing the p...
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Modern Portfolio Optimization Theory: The idea
We were recently given a lecture (by Dr. Susan Thomas) on Harry Markowitz portfolio optimization theory, and I was really fascinating with the noble laureate’s story of how he found it difficult to convince his guide about the importance of his thesis work. Little did anyone know that his thesis would get him the most respected award in acade...
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Unit root versus breaking trend: Perron’s criticism
I came across an ingenious simulation by Perron during my Time-series lecture which I thought was worth sharing. The idea was to put your model to a further test of breaking trend before accepting the null of unit root. Let me try and illustrate this in simple language.A non-stationary time series is one that has its mean changing with time. In o...
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Movement around the mean "Stationary" OR "Unit root"
The idea of modelling the time series of GNP, and other macroeconomic variables, data for US as a trend stationary (TS) process was brought into question by Nelson and Plosser in their groundbreaking research paper in 1982. Their research paper marked a paradigm shift in the way time-series econometrics was done post the 80’s. The profound ...
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