Publications by klr
Application of Horizon Plots
for background please see prior posts Horizon Plot Already Available and Cubism Horizon Charts in R Good visualization simplifies, and stories are better told with effective and pretty visualizations. Although horizon plots are not immediately intuitive, I have embraced them as an extremely effective method of analyzing more than four series. I...
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More on Horizon Charts
for background please see prior posts Application of Horizon Plots, Horizon Plot Already Available, and Cubism Horizon Charts in R Some feedback has led me to think that I might have been a little ambitious with my last post on horizon charts. I thought it might be helpful to quickly provide an overview on horizon charts. Since I am not a visuali...
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How do you say “We Will Do Whatever It Takes” in Thai?
As the market has already started to poke holes in Draghi’s promise, I thought it would be good to continue the series of posts that I began with the British version “We Will Do Whatever it Takes” with my favorite article written during the Asia Pacific crisis in 1997. The Economist, “The baht spills over”: May 22, 1997 Too soon to cro...
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Horizon Plots in Base Graphics
for background please see prior posts More on Horizon Charts, Application of Horizon Plots, Horizon Plot Already Available, and Cubism Horizon Charts in R There are three primary graphics routes in R (base graphics, lattice, and ggplot2), and each have their zealots. Last time in More on Horizon Charts, I used lattice and latticeExtra. This tim...
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48 Industries Since 1963
Please see http://timelyportfolio.blogspot.com/search/label/horizonplot for all horizon plot posts. Once more thanks to Ken French for his data, we can accomplish something I think is fairly amazing. In 640×800, we can see 250 day rollling returns for 48 U.S. industries since 1963. From TimelyPortfolio R code in GIST (do raw for copy/past...
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“Trend is Not Your Friend” Applied to 48 Industries
Please see previous post Crazy RUT in Academic Context Why Trend is Not Your Friend. I’ll repeat the intro to the post mentioned above, so we can all get caught back up. In response to Where are the Fat Tails?, reader vonjd very helpfully referred me to this paper The Trend is Not Your Friend! Why Empirical Timing Success is Determined by the U...
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48 Industries (Dendrogram Ordered) Over 50 Years
Thanks to reader AHWest for the comment on post 48 Industries Since 1963. “I think it would be interesting to see the industries ordered by some sort of similarity of returns.” I think this is a great suggestion, and I would like to see it also. I tried the dendrogram plot technique from Inspirational Stack Overflow Dendrogram Applied to C...
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Animated GIF Annual Correlation of 48 Industries for 50 Years
Inspired by http://blogs.reuters.com/felix-salmon/2012/08/06/chart-of-the-day-hft-edition/, I thought I would build on 48 Industries (Dendrogram Ordered) Over 50 Years, “Trend is Not Your Friend” Applied to 48 Industries, and 48 Industries Since 1963 with an animated GIF of annual correlation for the Kenneth French 48 Industry Data set. ...
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plot.xts is wonderful
As mentioned in FOSS Trading post A New plot.xts yesterday “The Google Summer of Code (2012) project to extend xts has produced a very promising new plot.xts function. Michael Weylandt, the project’s student, wrote R-SIG-Finance to request impressions, feedback, and bug reports. The function is housed in the xtsExtra package of the xts proje...
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Horizon Plots with plot.xts
Anyone who has read 48 Industries (Dendrogram Ordered) Over 50 Years 48 Industries Since 1963 “Trend is Not Your Friend” Applied to 48 Industries Horizon Plots in Base Graphics More on Horizon Charts Application of Horizon Plots Horizon Plot Already Available Cubism Horizon Charts in R should already know that I really like horizon charts.�...
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