schalekamp

#make sure llvm-3.3 is installed! + numba requirements
sudo apt-get install llvm cython python-pip llvm-3.3
sudo LLVM_CONFIG_PATH=/usr/lib/llvm-3.3/bin/llvm-config pip install llvmpy
sudo pip install numba

schalekamp

#!/bin/sh
mkdir ~/down/
cd ~/down/
sudo apt-get install build-essential
wget http://www.python.org/ftp/python/2.7.2/Python-2.7.2.tgz
tar -xzf Python-2.7.2.tgz
cd Python-2.7.2
sudo apt-get install libsqlite3-dev zlib1g-dev libncurses5-dev
sudo apt-get install libgdbm-dev libbz2-dev libreadline5-dev
sudo apt-get install libssl-dev libdb-dev

schalekamp

schalekamp

#!/usr/bin/env python

import dateutil
from datetime import date, datetime
import numpy as np
import pandas as pd
import requests


class YahooException(Exception):

schalekamp

# basic factor analysis
# http://blog.alphaarchitect.com/2015/05/28/basic-factor-analysis-simple-tools-to-understand-what-drives-performance/

import pandas as pd
import pandas.io.data as web
import datetime, re, copy
import numpy as np
import statsmodels.formula.api as sm

start = datetime.date(2000,1,1)

schalekamp

%matplotlib inline
import numpy as np
import matplotlib.pyplot as plt
import cvxopt as opt
from cvxopt import blas, solvers
import pandas as pd
import pandas.io.data as web
import datetime

# Turn off progress printing 

schalekamp

import math
import numpy
import numpy.random as nrand

"""
Note - for some of the metrics the absolute value is returns. This is because if the risk (loss) is higher we want to
discount the expected excess return from the portfolio by a higher amount. Therefore risk should be positive.
"""

schalekamp

First you have to make sure you have the java JDK installed.
In a terminal (ubuntu) do this.

sudo apt-get install default-jdk

Then in RStudio you have to install rJava and RJDBC

install.packages("rJava")
install.packages("RJDBC")