Blog Archives

Penny pinching yields pennies

January 26, 2012
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Penny pinching yields pennies

A Greek Professor of Economics has written up a thought-provoking series of articles on complexity fetishism. As part of his …Continue reading »

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Random matrix theory and APT’s daily global model

January 25, 2012
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Random matrix theory and APT’s daily global model

Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …Continue reading »

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Teaser: Running R as a map/reduce job from Riak

August 17, 2011
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Teaser: Running R as a map/reduce job from Riak

Alliterations aside, here is a preview of something I’ve been tinkering with. My goal is to be able to run …Continue reading »

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Calculating DV01 using futile.paradigm

April 25, 2011
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Calculating DV01 using futile.paradigm

Here’s a short example of using the futile.paradigm for calculating the DV01 of a bond. The basic idea is to …Continue reading »

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R/Finance 2011

February 23, 2011
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R/Finance 2011

I will be speaking at R/Finance 2011 in Chicago at the end of April regarding the futile.paradigm, my R language …Continue reading »

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Duck typing with quantmod

February 4, 2011
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Duck typing with quantmod

This is a short example of using duck typing in a guard statement in the futile.paradigm. We are implementing a …Continue reading »

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New version of R package futile released

April 6, 2010
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New version of R package futile released

The latest version of futile was released to CRAN yesterday. This release broke out the various functions into self-contained sub-packages …Continue reading »

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