I'm excited to share the call for papers for the upcoming R/Finance conference. Even if you don't submit a presentation, I hope to see you there!Call for Papers:R/Finance 2012: Applied Finance with RMay 11 and 12, 2012University of Illinois, Chic...
Blog Archives
Creating Financial Instrument metadata in R
(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same. When doing analysis on fixed income products, options, futur...
The R Journal, Volume 3/1
The most recent issue of The R Journal was recently published. If you're not a regular reader, you should at least check out the following three contributed articles (listed in order of appearance).Rmetrics - timeDate PackageDifferential Evoluti...
R/Finance 2011 Presentations are online
For those of you who don't subscribe to the R-SIG-Finance mailing list: You really should subscribe ;-)Dirk Eddelbuettel announced the R/Finance 2011 presentations are now available.I've included the entire announcement (with some hyperlinks) below.The...
RQuantLib Windows binary on CRAN
Dirk Eddelbuettel has recently released RQuantLib-0.3.7, which contains the necessary QuantLib builds to allow the CRAN servers to build the Windows binary. This (thankfully) makes my post on how to build RQuantLib on 32-bit Windows unnecessary for ca...
How to backtest a strategy in R
This is the third post in the Backtesting in Excel and R series and it will show how to backtest a simple strategy in R. It will follow the 4 steps Damian outlined in his post on how to backtest a simple strategy in Excel. Step 1: Get the data T...
Risk-Opportunity Analysis: Houston
I will be attending Ralph Vince's risk-opportunity analysis workshop in Houston this weekend. I'll be in town Friday-Monday. Drop me a note if you're in the area and would like to meet for coffee / drinks.
R/Finance 2011 Registration Open
The registration for R/Finance 2011--which will take place April 29 and 30 in Chicago--is NOW OPEN!Building on the success of the two previous conferences in 2009 and 2010, we are expecting more than 250 attendees from around the world representing bot...
Moving from Excel to R
This first post of the Backtesting in Excel and R series will provide some resources to help smooth the transition from the familiarity and comfort of Excel to the potentially strange and intimidating world of R. I made my voyage from Excel to R more ...
Backtesting in Excel and R
This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R. The impetus for this series started with this tweet by Jared Woodard at Condor Options. After Soren Macbeth introduced us, Jare...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).