Blog Archives

Import Japanese equity data into R with quantmod 0.4-4

March 10, 2015
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I pushed quantmod 0.4-4 to CRAN this weekend.  It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda.Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively.  I didn’t use getOptionChain.yahoo much, so I’m not certain I restored all the prior...

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Google Summer of Code 2015

March 3, 2015
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Google Summer of Code 2015

The R Project has once again been selected as a mentoring organization for this year's Google Summer of Code (GSoC).  If you're not familiar with GSoC, it's a global program that offers students a stipend to write code for open source projects, under the direction of a mentor.  Mentors get code written for their project, but no...

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Updated quantmod on CRAN

December 15, 2014
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An updated version of quantmod has just been released on CRAN.  This is my first submission as the new maintainer.  The major change was removing the dependency on the now-archived Defaults package.  End-users shouldn't notice ...

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R/Finance 2015 Call for Papers

November 18, 2014
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Call for Papers:R/Finance 2015: Applied Finance with RMay 29 and 30, 2015University of Illinois at ChicagoThe seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 in Chicago, IL, USA at the University...

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R/Finance 2014 Review

June 30, 2014
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It's been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I'm writing this over two days during my train to and from Chicago).The comments below are based on my personal ex...

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R/Finance 2014 Registration Open

March 29, 2014
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As announced on the R-SIG-Finance mailing list, registration for R/Finance 2014 is now open! The conference will take place May 17 and 18 in Chicago.Building on the success of the previous conferences in 2009-2013, we expect more than 250 attendees fro...

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quantstrat is slow

November 4, 2013
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The complaint I hear most frequently about quantstrat is that it's slow, especially for large data.  Some of this slow performance is due to quantstrat treating all strategies as path-dependent by default.  Path dependence requires rules to b...

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R/Finance 2014 Call for Papers

October 17, 2013
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We're getting ready for this year's R/Finance conference.  Here's the call for papers.  I hope to see you there!R/Finance 2014: Applied Finance with RMay 16 and 17, 2014University of Illinois at ChicagoThe sixth annual R/Finance conference fo...

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R/Finance 2013 Review

May 28, 2013
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It's been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.The comments below are based on my personal experience.  If I don't comment on a seminar or presentation, it doesn't mean I...

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R/Finance 2013 Registration Open

March 29, 2013
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The registration for R/Finance 2013 -- which will take place May 17 and 18 in Chicago -- is NOW OPEN!Building on the success of the previous conferences in 2009, 2010, 2011 and 2012, we expect more than 250 attendees from around the world. R users from...

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