Publications by andrew
Filtering Data with L1 Regularisation
A few days ago I posted about Filtering Data with L2 Regularisation. Today I am going to explore the other filtering technique described in the paper by Tung-Lam Dao. This is similar to the filter discussed in my previous post, but uses a slightly different objective function: where the regularisation term now employs the L1 “taxi cab” metri...
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Daylight Saving Effect on S&P500 and FTSE100
Does the transition to and from Daylight Saving Time (DST) have a (significant) effect on the stock market? In a recent blog post on The UK Stock Market Almanac, the author found that the average return of the FTSE100 index for the days following the start of British Summer Time (BST) was -0.07% during the interval 1985-2013. This was lower than ...
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Earthquake Magnitude / Depth Chart
I am working on a project related to secondary effects of earthquakes. To guide me in the analysis I need a chart showing the location, magnitude and depth of recent earthquakes. There are a host of such charts available already, but since I had the required data on hand, it seemed like a good idea to take a stab at it myself. Getting the Data Th...
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Largest Volcanoes in Recorded History (and other statistics)
Around 199 years ago the largest volcano in recorded history, Mount Tambora, erupted, spewing an enormous volume of molten rock and ash into the atmosphere and onto the surrounding land. How is the intensity of a volcanic eruption quantified? Most people know about the Richter Scale which quantifies the energy released in an earthquake. The anal...
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Earthquakes: Land / Ocean Distribution
The next stage in my earthquake analysis project is to partition the events into groups with epicentre over land or water. Since our existing catalog contains the latitude and longitude for the epicentres, it was a relatively simple matter to pipe these into gmtselect and label the events accordingly. The resulting data when sucked into R looks l...
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Transitioning to Stan
Kevin Cartier writes: I’ve been happily using R for a number of years now and recently came across Stan. Looks big and powerful, so I’d like to pick an appropriate project and try it out. I wondered if you could point me to a link or document that goes into the motivation for this tool (aside from the Stan user doc)? What I’d like to under...
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R Interface to Myfxbook
Myfxbook provides an interface to your FOREX trading accounts as well as an active trading community. It has a broad range of functionality including a responsive interface to the FOREX market; tools for performing statistical analyses on your trades; the facility to mirror trades from other traders or systems; and provides a platform for pu...
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Hazardous and Benign Space Objects: Getting the Data
The recent story about a skydiver nearly being hit by falling meteor got me thinking about all the pieces of rock floating around in near-Earth space. Despite the fact that the supposed meteor was probably just a chunk of rock mistakenly packed in with a parachute, the fact that something like that could actually happen is quite intriguing. And n...
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Comrades Marathon: Negative Splits and Cheating
With this year’s Comrades Marathon just less than a month away, I was reminded of a story from earlier in the year. Mark Dowdeswell, a statistician at Wits University, found evidence of cheating by some middle and back of the pack Comrades runners. He identified a group of 20 athletes who had suspicious negative splits: they ran much faster in ...
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Hazardous and Benign Space Objects: Solving Kepler’s Equation
Following on from my previous post about Near Earth Objects, today we are going to solve Kepler’s Equation to find the eccentric anomaly, which is the next step towards plotting the positions of these NEOs relative to Earth. The Eccentric, True and Mean Anomalies The relationship between the eccentric and true anomalies are depicted in the figu...
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