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agentq

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Ask HN: What is the most impactful thing you've built? 4 years ago

I researched & prototyped (in R), and ultimately put into production (C++) a core set of spectral risk analysis analytics that replaced outdated VaR and vol forecasts for an extremely large asset management firm and left immediately afterwards. Technically speaking, guided risk mgmt/investment decisions at the trillion-dollar scale, ran as-is for 8-10 years before being recently re-implemented in some other language.

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Try R — A new online course, for free 14 years ago

I actually find base R excellent for data munging and manipulation, even without using additional packages. Here is a reproducible example that very easily accomplishes what you were trying to do (first two lines just set up a sample data frame)

  set.seed(123)
  dfrm <- data.frame(height=runif(20),
                     name=paste(sample(LETTERS[1:5],20,replace=TRUE),letters[1:20]))
  subset(dfrm, grepl('^D',name), sel=height)
Basic R functions like subset, transform, with(in), reshape, aggregate, (a,ma,ta,sa,va}pply, match, grep(l), by, split, table, etc. allow you to accomplish just about any data frame munging you might want. Add on the plyr, reshape2, data.table, xts/zoo packages and you're ready to tackle just about anything.

I'm not a big fan of sqldf because imo R is not supposed to act like SQL. Using sqldf in practice would require a lot of query string manipulation and takes away from the nice functional features of R.

Nevertheless, it is very easy to write incomprehensible R code. The best way to avoid this is to take one of the existing style guides (Google, Hadley Wickham's) and adopt it seriously.

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Principle Component Analysis 14 years ago

In financial practice, asset-level PCA isn't as common, especially in systems where covariance estimation is fraught with misspecification errors. Instead, individual securities first condensed to factors (e.g., for equity some examples are book/price, momentum, large vs. small cap, etc.).

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Ask HN: Typical Startup or Abuse? 16 years ago

To further goad the OP to immediately leave his current job: between junior and senior year of college, I made a bit more than the OP's yearly pay in a 12wk internship.

Please, for your wife and kid(s), get out of this horrible situation.

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Why R Doesn't Suck 16 years ago

My programming background is fairly extensive in non-functional languages. I work in finance, and the company I joined uses R for a considerable amount of model prototyping.

I'd really like to switch to Python+numpy/scipy, but I haven't been able to find an equivalent of a data.frame, or some numeric+string data structure that allows for easy slicing on both.

Does anybody have any suggestions?

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Exploiting hard filtered SQL Injections 16 years ago

In the particular case of integer ids, however, can't you just make sure what's being passed is an integer? Similarly, for a 'simple' username, check against "^[a-zA-Z0-9]+$"?

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