R/Finance 2009: Applied Finance with R
December 30, 2008 · Posted in R bloggers · Comments Off
Call for PapersThe Finance Department of the University of Illinois at Chicago (UIC),
the International Center for Futures and Derivatives at UIC, and
members of the R finance community are pleased to announce
R/Finance 2009: Applied Finance with R
on April 24 and 25, 2009, in Chicago, IL, USA
Confirmed keynote speakers include:
Patrick Burns (Burns Statistics)
David Kane (Kane Capital)
Roger Koenker (U of Illinois at Urbana/Champaign)
David Ruppert (Cornell)
Diethelm Wuertz (ETH Zürich)
Eric Zivot (U of Washington)
We invite all users of R in Finance to submit one-page abstracts or
complete papers (in txt/pdf/doc format). We encourage papers both on
academic research topics and related to use of R by Finance practitioners.
Presenters are strongly encouraged to provide working R code to accompany
the presentation/paper. Datasets need not be made public.
Please send submissions to committee@RinFinance.com.
The submission deadline is January 31st, 2009.
Submissions will be evaluated and submitters notified via email
on a rolling basis.
Additional details about the conference will be announced as available.
For the program committee:
Gib Bassett, Peter Carl, Dirk Eddelbuettel, John Miller,
Brian Peterson, Dale Rosenthal, Jeffrey Ryan
New stuff in the gdata R package
December 30, 2008 · Posted in R bloggers · Comments Off
I have moved quite some functions from my "testing/playground" R package ggmisc to the gdata package. Bellow is the relevant text from the NEWS file. Here are the links:
NEWS:- New function .runRUnitTestsGdata that enables run of all RUnit tests during the R CMD check as well as directly from within R.
- Enhanced function object.size that returns the size of multiple objects. There is also a handy print method that can print size of an object in "human readable" format when options(humanReadable=TRUE) or print(x, humanReadable=TRUE).
- New function bindData that binds two data frames into a multivariate data frame in a different way than merge.
- New function wideByFactor that reshapes given dataset by a given factor it creates a "multivariate" data.frame.
- New functions getYear, getMonth, getDay, getHour, getMin, and getSec for extracting the date/time parts from objects of a date/time class.
- New function nPairs that gives the number of variable pairs in a data.frame or a matrix.
RQuantLib 0.2.10
December 29, 2008 · Posted in R bloggers · Comments Off
Earlier this month and following the release of QuantLib 0.9.7, I updated RQuantLib to version 0.2.10. For once, there were no changes required to keep up
with QuantLib. Rather, changes were internal as Rcpp had been spun off into its own package. As Rcpp is
now in Debian, RQuantLib itself was also updated in Debian following the earlier upload to
the CRAN network.Rcpp now in Debian
December 25, 2008 · Posted in R bloggers · Comments Off
Rcpp is an interface package that makes it easier to add C++ code to GNU R. It had started as
a part of my RQuantLib project but has now come into its own as blogged here and here.
As of today, Rcpp is now also available as a Debian package.High-Performance Computing with R
December 25, 2008 · Posted in R bloggers · Comments Off
Dirk has posted a new version of slides for a tutorial "Introduction to High-Performance Computing with R".
Very flattering
December 24, 2008 · Posted in R bloggers · Comments Off
Good friend and fellow Oak Park / River Forest runner Paul Oppenheim used his column in the local weekly for some very flattering words about the marathon runners in our informal running group
and even highlighting my personal World Marathon Majors adventure.
I may just have to keep a copy for my epitaph.Statistics for Neuroscience (Neuroscience 9506b)
December 23, 2008 · Posted in R bloggers · Comments Off
This coming winter term (Jan-Apr, 2009) I will be teaching my graduate seminar in the Graduate Program in Neuroscience, Statistics for Neuroscience (Neuroscience 9506b). The course webpage can be found [ here ]. I will be doing two things differently this … Continue reading 
gdata gains trimSum function
December 20, 2008 · Posted in R bloggers · Comments Off
I was doing some drawing in R and I needed to trim some values to keep the data (x axis) in reasonable limits, but I did not want to loose that info. Therefore, I summed the values that would be trimmed. Since I was repeating this, I wrote a function and commited it to the gdata SVN package repository. It will probably take some time before new version of gdata hits the CRAN, so there is package for MS Windows and a source package. Here it goes in action:
> x <- 1:10
> trimSum(x, n=5)
[1] 1 2 3 4 45
> trimSum(x, n=5, right=FALSE)
[1] 21 7 8 9 10
> x[9] <- NA
> trimSum(x, n=5)
[1] 1 2 3 4 NA
> trimSum(x, n=5, na.rm=TRUE)
[1] 1 2 3 4 36
Rtools and Cygwin on MS Windows
December 20, 2008 · Posted in R bloggers · Comments Off
Duncan Murdoch provides Rtools which ease the installation of tools that are needed to do R package development/testing on MS Windows. The Rtools is a collection of various tools. However, if you also use Cygwin on MS Windows, you can expect problems since Rtools also includes some tools from Cygwin. The problem is the version collision of fundamental Cygwin libraries. Basically, this means that you will not be able to use Cygwin and if you have C:/Cygwin/bin in the PATH envorinmental variable, you can expect problems also in the Command Prompt. You can try to fuse both "worlds" as described in the documentation, but is seems tricky. I just used the following to make my life easier:
Btw. under Linux or Mac you can test the functionality of R package under MS Windows using the win builder at http://win-builder.r-project.org provided by Uwe Ligges- Install Rtools and do not modify the PATH envorinmental variable --> this means that you will still be able to use Cygwin without problems
- Create a BAT script (say on the Desktop) with the following content
rem --- Add RTools to the PATH ---
set PATH=c:\Programs\R\Rtools\bin;c:\Programs\R\Rtools\perl\bin;c:\Programs\R\Rtools\MinGW\bin;%PATH%
rem --- Start the Command Prompt ---
cmd
- Start the script with the double click and you will get a working environment for R package development/testing
Extra moments measure
December 16, 2008 · Posted in R bloggers · Comments Off
The following functions are intended to replicate calculations for taking higher moments of hedge fund returns into account in analyzing particular investments. Most of the formulae are taken from various EDHEC research papers.# All returns are assumed to be on a monthly scale!
functions including:
# moment.third
# moment.fourth
# CoSkewness
# CoKurtosis
# BetaCoVariance
# BetaCoV (wrapper for BetaCoVariance)
# SystematicBeta (wrapper for BetaCoVariance)
# BetaCoSkewness
# BetaCoS (wrapper for BetaCoSkewness)
# SystematicSkewness (wrapper for BetaCoSkewness)
# BetaCoKurtosis
# BetaCoK (wrapper for BetaCoKurtosis)
# SystematicKurtosis (wrapper for BetaCoKurtosis)
# VaR
# VaR.Beyond
# VaR.column
# VaR.CornishFisher
# VaR.Marginal
# modifiedVaR (wrapper for VaR.CornishFisher)
http://braverock.com/brian/R/extra_moments.R
Tags - moment , portfolio
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