Caveat Mercator! The code here is provided "as is." I have
tried to post bug-free versions; however, I am not in the business of
providing free technical support for this code. If there is a glaring
error, please let me know; otherwise, the code should be assumed to be
of beta quality.
Perl script to create out-of-sample dataset from Arca files.
Perl script to get sectors and industries from Yahoo via Internet Wayback Machine.
Perl script to run the derivative-free optimization (to find delay parameters) and use those in fitting a GLMM in R.
Also nice (and more generally useful) is the scatter/contour plot R code I used to
make some of the plots in this article.
The basic idea is to create a scatterplot; but, in areas where the
point density exceeds visual acuity, to instead show contours of point
density. Thus we can still see some detail inside a "cloud" of