Sector Correlations

Welcome to the first installation of reproducible finance for 2017. It’s a new year, a new President takes office soon, and we could be entering a new political-economic environment. What better time to think about a popular topic over the last few years: equity correlations. Elevated correlations are important for several reasons - life is hard for active managers and diversification gains are vanishing - but I personally enjoy thinking about them more from an inference or data exploration perspective.

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Some R News

Here are a few things of some interest in the R world: The Gordon and Betty Moore Foundation has joined the R Consortium! This is a very positive development for the R Consortium and the R Community in general. The Moore Foundation has been a positive force for supporting technology that can make a real difference in people’s lives since its foundation in 2000 with an endowment of over $6 billion.

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December 2016 Package Picks

Last month, 217 new packages were submitted to CRAN. By my count this was the highest monthly value recorded for the past nine years. Below, are brief descriptions of fifty-two of these new-for-December packages grouped into six categories: Data, Data Science, Financial Analysis, Statistics, Utilities and Visualizations. The Financial Analysis category is noteworthy. It is unusual to have six interesting packages centered on some financial application in a given month.

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10,000 CRAN Packages

The R package system continues to expand as the number of packages on CRAN is about to blow through the 10,000 mark sometime soon. This is astonishing! Not only are new packages arriving at a rate of about 190 per month, but CRAN itself continues to tick along like a well-oiled machine, 24 by 7. We all owe a great deal of gratitude to the CRAN maintainers, and to the Bioconductor team as well, who are maintaining more than 1,200 packages.

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Interview with Joe Cheng

Recently, I had the opportunity to interview RStudio’s Joe Cheng. Joe, the inventor and lead developer for Shiny, was the first person that J.J. Allaire invited to join the RStudio IDE project. We talked about those early days, how Shiny got started, Joe’s background as a software developer, his take on the R language and more. What follows is an edited transcript of our conversation. JBR: Hello Joe, thank you for being with us today.

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Get Ready for RStudio::Conf

The 2017 R Conference season will get off to an early start on January 13th and 14th with RStudio::Conf 2017 in Orlando, Florida. The schedule promises an intense but collegial experience with plenty of hands-on practice working with R and the RStudio tool chain of packages and products. To prepare for the conference, I thought I would try to extract the major themes from the list of talks and workshops and point out some resources to study ahead of time.

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R for Enterprise: How to Scale Your Analytics Using R

At RStudio, we work with many companies interested in scaling R. They typically want to know: How can R scale for big data or big computation? How can R scale for a growing team of data scientists? This post provides a framework for answering both questions. Scaling R for Big Data or Big Computation The first step to scaling R is understanding what class of problems your organization faces.

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Reproducible Finance with R: A Shiny ETF Map

In a previous post, we built an R Notebook that laid the groundwork for a Shiny app that allows users to graph country ETFs by clicking on a world map. In today’s Fun Friday post, we’ll charge forth to build that app, again using a flexdashboard so that we can stay in the Rmarkdown schema. Devoted readers of this blog know that I have a predilection for the Notebook-to-flexdashboard workflow, for reasons of efficiency and reproducibility.

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Reproducible Finance with R: Pulling and Displaying ETF Data

It’s the holiday season, and that can mean only one thing: time to build a leaflet map as an interface to country Exchange Traded Fund (ETF) data! In previous posts, we examined how to import stock data and then calculate and display the Sharpe Ratio of a portfolio. Today, we’re going to skip the calculations and focus on a nice interface for pulling and displaying data. Specifically, our end product will enable users to graph country ETF prices by clicking on those countries in an interactive map, instead of having to use the ETF ticker symbol.

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December '16 RStudio Tips and Tricks

Here is this month’s collection of RStudio Tips and Tricks. Thank you to those who responded to last month’s post; many of your tips are included below! Be sure to subscribe to @rstudiotips on Twitter for more. This month’s tips fall into two categories: Keyboard Shortcuts and Easier R Markdown. Keyboard Shortcuts The RStudio IDE is built upon “hooks”. Hooks are actions that the IDE can take. For instance, there is a hook to create a new file.

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