This article demonstrates a real-world case study for business forecasting with regression models including artificial neural networks (ANNs) with Keras
KERAS LSTM deep learning time series analysis. Use the NASA sunspots data set to predict sunspots ten years into the future with an KERAS LSTM deep learning model.
Information Security (InfoSec) is critical to a business. For those new to InfoSec, it is the state of being protected against the unauthorized use of information, especially electronic data. A single malicious threat can cause massive damage to a firm, large or small. It’s this reason when I (Matt Dancho) saw Russ McRee’s article, “Anomaly Detection & Threat Hunting with Anomalize”, that I asked him to repost on the Business Science blog. In his article, Russ speaks to use of our new R package,
anomalize, as a way to detect threats (aka “threat hunting”). Russ is Group Program Manager of the Blue Team (the internal security team that defends against real attackers) for Microsoft’s Windows and Devices Group (WDG), now part of the Cloud and AI (C+AI) organization. He writes toolsmith, a monthly column for information security practitioners, and has written for other publications including Information Security, (IN)SECURE, SysAdmin, and Linux Magazine. The data Russ routinely deals with is massive in scale: He processes security event telemetry of all types (operating systems, network, applications, service layer) for all of Windows, Xbox, the Universal Store (transactions/purchases), and a few others. Billions of events in short order.
Algorithmic Trading: Using Quantopian's Zipline Python Library In R And Backtest Optimizations By Grid Search And Parallel Processing
We are ready to demo our new experimental package for Algorithmic Trading,
flyingfox, which uses
reticulate to to bring Quantopian’s open source algorithmic trading Python library,
Zipline, to R. The
flyingfox library is part of our NEW Business Science Labs innovation lab, which is dedicated to bringing experimental packages to our followers early on so they can test them out and let us know what they think before they make their way to CRAN. This article includes a long-form code tutorial on how to perform backtest optimizations of trading algorithms via grid search and parallel processing. In this article, we’ll show you how to use the combination of
tibbletime (time-based extension of
furrr (a parallel-processing compliment to
Zipline in R) to develop a backtested trading algorithm that can be optimized via grid search and parallel processing. We are releasing this article as a compliment to the R/Finance Conference presentation “A Time Series Platform For The Tidyverse”, which Matt will present on Saturday (June 2nd, 2018). Enjoy!
Tidy Time Series Analysis, investigate lags and autocorrelation to understand seasonality and form the basis for autoregressive forecast models.
In the third part in a series on Tidy Time Series Analysis, we’ll use the
runCor function from
TTR to investigate rolling (dynamic) correlations. We’ll again use
tidyquant to investigate CRAN downloads. This time we’ll also get some help from the
corrr package to investigate correlations over specific timespans, and the
cowplot package for multi-plot visualizations. We’ll end by reviewing the changes in rolling correlations to show how to detect events and shifts in trend. If you like what you read, please follow us on social media to stay up on the latest Business Science news, events and information! As always, we are interested in both expanding our network of data scientists and seeking new clients interested in applying data science to business and finance. If interested, contact us.
In the second part in a series on Tidy Time Series Analysis, we’ll again use
tidyquant to investigate CRAN downloads this time focusing on Rolling Functions. If you haven’t checked out the previous post on period apply functions, you may want to review it to get up to speed. Both
TTR have a number of “roll” and “run” functions, respectively, that are integrated with
tidyquant. In this post, we’ll focus on the
rollapply function from
zoo because of its flexibility with applying custom functions across rolling windows. If you like what you read, please follow us on social media to stay up on the latest Business Science news, events and information! As always, we are interested in both expanding our network of data scientists and seeking new clients interested in applying data science to business and finance.
We’re pleased to introduce a new package,
sweep, now on CRAN! Think of it like
broom for the
forecast package. The
forecast package is the most popular package for forecasting, and for good reason: it has a number of sophisticated forecast modeling functions. There’s one problem:
forecast is based on the
ts system, which makes it difficult work within the
tidyverse. This is where
sweep fits in! The
sweep package has tidiers that convert the output from
forecast modeling and forecasting functions to “tidy” data frames. We’ll go through a quick introduction to show how the tidiers can be used, and then show a fun example of forecasting GDP trends of US states. If you’re familiar with
broom it will feel like second nature. If you like what you read, don’t forget to follow us on social media to stay up on the latest Business Science news, events and information!
In the first part in a series on Tidy Time Series Analysis, we’ll use
tidyquant to investigate CRAN downloads. You’re probably thinking, “Why tidyquant?” Most people think of
tidyquant as purely a financial package and rightfully so. However, because of its integration with
TTR, it’s naturally suited for “tidy” time series analysis. In this post, we’ll discuss the the “period apply” functions from the
xts package, which make it easy to apply functions to time intervals in a “tidy” way using
We’ve got some good stuff cooking over at Business Science. Yesterday, we had the fifth official release (0.5.0) of
tidyquant to CRAN. The release includes some great new features. First, the Quandl integration is complete, which now enables getting Quandl data in “tidy” format. Second, we have a new mechanism to handle selecting which columns get sent to the mutation functions. The new argument name is…
select, and it provides increased flexibility which we show off in a
rollapply example. Finally, we have added several
PerformanceAnalytics functions that deal with modifying returns to the mutation functions. In this post, we’ll go over a few of the new features in version 5.
Today I’m very pleased to introduce the new Quandl API integration that is available in the development version of
tidyquant. Normally I’d introduce this feature during the next CRAN release (v0.5.0 coming soon), but it’s really useful and honestly I just couldn’t wait. If you’re unfamiliar with Quandl, it’s amazing: it’s a web service that has partnered with top-tier data publishers to enable users to retrieve a wide range of financial and economic data sets, many of which are FREE! Quandl has it’s own R package (aptly named
Quandl) that is overall very good but has one minor inconvenience: it doesn’t return multiple data sets in a “tidy” format. This slight inconvenience has been addressed in the integration that comes packaged in the latest development version of
tidyquant. Now users can use the Quandl API from within
tidyquant with three functions:
quandl_search(), and the core function
tq_get(get = "quandl"). In this post, we’ll go through a user-contributed example, How To Perform a Fama French 3 Factor Analysis, that showcases how the Quandl integration fits into the “Collect, Modify, Analyze” financial analysis workflow. Interested readers can download the development version using
devtools::install_github("business-science/tidyquant"). More information is available on the tidyquant GitHub page including the updated development vignettes.