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by Ilya Kipnis

In this post, I will demonstrate how to obtain, stitch together, and clean data for backtesting using futures data from Quandl. Quandl was previously introduced in the Revolutions Blog.  Functions I will be using can be found in my IK Trading package available on my github page.

Earlier this month, the results of the 15th annual KDnuggets Software Poll were released and R's popularity continues to grow. 38.5% of respondents reporting using open source R in the last 12 months, up from 37.4% in 2013.

I flagged this video for my Friday post earlier this week, and it's already everywhere on the Internet. But it's so awesome that I'm still going to post it. If by chance you haven't seen it yet, this guy was stuck overnight in Las Vegas airport and filmed this music video on his iPhone.

Ever since the days of digital film processing, cinematographers have had free rein to recolor their shots in any way they like, without the hassle of chemical developing systems from the old film days. The Coen Brothers' Oh Brother Where Art Thou was the first Hollywood film to use this process, giving the film a washed-out yellow hue reminiscent of the films Deep South setting.

by Daniel Hanson


Last time, we used the discretization of a Brownian Motion process with a Monte Carlo method to simulate the returns of a single security, with the (rather strong) assumption of a fixed drift term and fixed volatility.  We will return to this topic in a future article, as it relates to basic option pricing methods, which we will then expand upon.

In case you missed them, here are some articles from May of particular interest to R users:  

Karl Broman's hipsteR guide lists some new(ish) features of R that early adopters may have missed.

I saw this video from the Bottle Boys the other day, and I've had Billie Jean stuck in my head ever since:


Billie Jean seems to be a popular song to harmonize to! That's all for now — enjoy your weekend, and we'll be back on Monday.

"A growing body of evidence that indicates that the most meaningful way to access predictive analytics and enhance the reputation of Data Science is through open source analytics, which greatly hinges upon the free open source programming language R", according to Dataversity in the recent article "The Relevance of Open Source (Advanced) Analytics". The article also includes several business use cases for R.