Sunday, January 26, 2014

Tuning optim with parscale

I often get questions what is the use of parscale parameter in optim procedure in GNU R. Therefore I have decided to write a simple example showing its usage and importance.

Saturday, December 28, 2013

GNU R vs Julia: is it only a matter of devectorization?

Recently I have read a post on benefits of code devectorization in Julia. The examples given there inspired me to perform my own devectorization exercise. I decided to use bootstrapping as a test ground. The results are quite interesting (and not so bad for GNU R).

Monday, December 2, 2013

Speeding up model bootstrapping in GNU R

After my last post I have recurringly received two questions: (a) is it worthwhile to analyze GNU R speed in simulations and (b) how would simulation speed compare between GNU R and Python. In this post I want to address the former question and next time I am going to tackle the latter.

Saturday, November 23, 2013

Simulation speed: GNU R vs Julia

Recently there is a lot of noise about Julia. I have decided to test its speed in simulation tasks on my toy Cont model. I thought I had vectorized my GNU R code pretty well, but Julia is much faster.

Thursday, November 14, 2013

Calibration of p-value under variable selection: an example

Very often people report p-values for linear regression estimates after performing variable selection step. Here is a simple simulation that shows that such a procedure might lead to wrong calibration of such tests.

Monday, October 28, 2013

Cont model - Part II

In my last post I have investigated properties of Cont model (you can download the paper here). Today I would like to show how we can use simulations to further simplify its analysis.

Wednesday, October 16, 2013

Cont model back after a year

During ESSA2013 conference I had a discussion about Cont model I have commented a year ago.
In original paper Cont highlights that his model produces distribution of returns characterized by positive excess kurtosis. In this post I want to investigate this assertion.